Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model
提出一种面板马尔可夫转换VAR模型，分析欧元区与美国经济周期互动，发现美国领先欧元区，信贷冲击对德国、西班牙和美国工业产出有负面影响。
Summary The proposed panel Markov‐switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time‐varying transition matrices of country‐specific Markov chains, allowing for interconnections. An efficient multi‐move sampling algorithm draws time‐varying Markov‐switching chains. Using industrial production growth and credit spread data, several important data features are obtained. Three regimes appear, with slow growth becoming persistent in the eurozone. Turning point analysis indicates the USA leading the eurozone cycle. Amplification effects influence recession probabilities for Eurozone countries. A credit shock results in temporary negative industrial production growth in Germany, Spain and the USA. Core and peripheral countries exist in the eurozone. Copyright © 2016 John Wiley & Sons, Ltd.