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Details about Michael J. Dueker

This author is deceased (2014-01-29).

Access statistics for papers by Michael J. Dueker.

Last updated 2016-12-26. Update your information in the RePEc Author Service.

Short-id: pdu108


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Working Papers

2010

  1. A time-varying threshold STAR model of unemployment and the natural rate
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
  2. Multivariate Contemporaneous-Threshold Autoregressive Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2009) Downloads
    Working Papers, Federal Reserve Bank of St. Louis (2007) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2011)
  3. State-Dependent Threshold STAR Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads View citations (1)

2009

  1. Contemporaneous-Threshold Smooth Transition GARCH Models
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2011)
  2. Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR
    Working Papers, Federal Reserve Bank of St. Louis Downloads

2008

  1. Inflation, Monetary Policy and Stock Market Conditions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  2. Multivariate Markov switching with weighted regime determination: giving France more weight than Finland
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)

2007

  1. Comment on Harding and Pagan 'The econometric analysis of some constructed binary time series'
    Working Papers, Federal Reserve Bank of St. Louis
  2. Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
    Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy Downloads View citations (14)
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2006) Downloads
    Working Papers, Federal Reserve Bank of St. Louis (2006) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2007)
  3. Monetary policy and stock market booms and busts in the 20th century
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (10)
  4. The price puzzle and indeterminacy in an estimated DSGE model
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)

2006

  1. Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index
    Working Papers, University of Washington, Department of Economics Downloads View citations (6)
    See also Journal Article in Macroeconomic Dynamics (2006)
  2. Can Markov switching models predict excess foreign exchange returns?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (25)
    See also Journal Article in Journal of Banking & Finance (2007)
  3. Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    See also Journal Article in Economics Letters (2006)

2005

  1. Forecasting macro variables with a Qual VAR business cycle turning point index
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    See also Journal Article in Applied Economics (2010)
  2. Structural Breaks in Estimated DSGE Models with Indeterminacy
    Computing in Economics and Finance 2005, Society for Computational Economics
  3. The practice boundaries of advanced practice nurses: an economic and legal analysis
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)
    See also Journal Article in Journal of Regulatory Economics (2005)

2004

  1. Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (3)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (2)
    Working Papers, Federal Reserve Bank of St. Louis (2004) Downloads View citations (4)
  2. Stochastic capital depreciation and the comovement of hours and productivity
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (10)
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2002) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (4)
    Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) Downloads

    See also Journal Article in The B.E. Journal of Macroeconomics (2007)

2003

  1. Business cycle detrending of macroeconomic data via a latent business cycle index
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
  2. Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2005)
  3. Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements
    Working Papers, Swiss National Bank, Study Center Gerzensee Downloads View citations (1)
    See also Journal Article in Economics Letters (2003)
  4. Fixing Swiss potholes: the importance of improvements
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads

2002

  1. Directly measuring early exercise premiums using American and European S&P 500 index options
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Journal Article in Journal of Futures Markets (2003)

2001

  1. Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2001) Downloads

    See also Journal Article in Explorations in Economic History (2003)
  2. Aggregate price shocks and financial instability: a historical analysis
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (34)
    NBER Historical Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (23)

    See also Journal Article in Economic Inquiry (2002)
  3. European business cycles: new indices and analysis of their synchronicity
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    Also in Discussion Paper Serie B, University of Bonn, Germany (1999) Downloads View citations (7)
  4. The Mechanics of a Successful Exchange-Rate Peg: Lessons for emerging Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2001) Downloads

    See also Journal Article in Review (2001)

2000

  1. Austria's Hard-Currency Policy: The Mechanics of Successful Exchange-Rate Peg
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  2. Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (7)

1998

  1. A monetary policy feedback rule in Korea's fast-growing economy
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (1999)
  2. Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (1999)

1997

  1. Do bank loan rates exhibit a countercyclical mark-up?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (9)
  2. Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)

1996

  1. Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options
    Working Papers, Federal Reserve Bank of St. Louis Downloads

1995

  1. Compound volatility processes in EMS exchange rates
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  2. Identifying Austria's implicit monetary target: an alternative test of the "hard currency" policy
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  3. Inflation targeting in a small open economy: empirical results for Switzerland
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    See also Journal Article in Journal of Monetary Economics (1996)
  4. Markov switching in GARCH processes and mean reverting stock market volatility
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Journal Article in Journal of Business & Economic Statistics (1997)
  5. Non-monotonic long memory dynamics in black-market premia
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
  6. Tariffs and asset market structure: some basic comparative dynamics
    Working Papers, Federal Reserve Bank of St. Louis Downloads

1994

  1. Asymmetry in the prime rate and firms' preference for internal finance
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
  2. Product cycles, innovation and relative wages in European countries
    Working Papers, Federal Reserve Bank of St. Louis Downloads

1993

  1. Fractional Integration and Cointegration
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1993)

Journal Articles

2014

  1. Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
    Quantitative Finance, 2014, 14, (12), 2155-2170 Downloads View citations (4)

2013

  1. State-Dependent Threshold Smooth Transition Autoregressive Models
    Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 Downloads

2012

  1. Modeling dependence dynamics through copulas with regime switching
    Insurance: Mathematics and Economics, 2012, 50, (3), 346-356 Downloads View citations (5)

2011

  1. Contemporaneous-Threshold Smooth Transition GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 1-25 Downloads View citations (1)
    See also Working Paper (2009)
  2. Multivariate contemporaneous-threshold autoregressive models
    Journal of Econometrics, 2011, 160, (2), 311-325 Downloads View citations (2)
    See also Working Paper (2010)

2010

  1. Forecasting macro variables with a Qual VAR business cycle turning point index
    Applied Economics, 2010, 42, (23), 2909-2920 Downloads View citations (10)
    See also Working Paper (2005)

2009

  1. Indeterminacy, change points and the price puzzle in an estimated DSGE model
    Journal of Economic Dynamics and Control, 2009, 33, (3), 624-648 Downloads View citations (12)

2007

  1. Can Markov switching models predict excess foreign exchange returns?
    Journal of Banking & Finance, 2007, 31, (2), 279-296 Downloads View citations (25)
    See also Working Paper (2006)
  2. Contemporaneous threshold autoregressive models: Estimation, testing and forecasting
    Journal of Econometrics, 2007, 141, (2), 517-547 Downloads View citations (12)
    See also Working Paper (2007)
  3. Stochastic Capital Depreciation and the Co-movement of Hours and Productivity
    The B.E. Journal of Macroeconomics, 2007, 6, (3), 1-24 Downloads View citations (8)
    See also Working Paper (2004)

2006

  1. BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX
    Macroeconomic Dynamics, 2006, 10, (05), 573-594 Downloads View citations (7)
    See also Working Paper (2006)
  2. Do inflation targeters outperform non-targeters?
    Review, 2006, (Sep), 431-450 Downloads View citations (10)
  3. Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
    Economics Letters, 2006, 93, (1), 58-62 Downloads View citations (1)
    See also Working Paper (2006)
  4. Political economy of state homeland security grants
    National Economic Trends, 2006, (Dec) Downloads
  5. The price puzzle: an update and a lesson
    National Economic Trends, 2006, (Oct) Downloads View citations (1)
  6. Using cyclical regimes of output growth to predict jobless recoveries
    Review, 2006, (Mar), 145-154 Downloads

2005

  1. Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models
    Review, 2005, (Nov), 719-34 Downloads View citations (9)
  2. Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions
    Journal of Business & Economic Statistics, 2005, 23, 96-104 Downloads View citations (47)
    See also Working Paper (2003)
  3. Open mouth operations: a Swiss case study
    Monetary Trends, 2005, (Jan) Downloads View citations (2)
  4. The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis
    Journal of Regulatory Economics, 2005, 27, (3), 309-330 Downloads View citations (4)
    See also Working Paper (2005)

2004

  1. Discrete policy changes and empirical models of the federal funds rate
    Review, 2004, (Nov), 61-72 Downloads View citations (5)

2003

  1. Aggregate price shocks and financial stability: the United Kingdom 1796-1999
    Explorations in Economic History, 2003, 40, (2), 143-169 Downloads View citations (9)
    See also Working Paper (2001)
  2. Directly measuring early exercise premiums using American and European S&P 500 Index options
    Journal of Futures Markets, 2003, 23, (3), 287-313 Downloads View citations (1)
    See also Working Paper (2002)
  3. European Business Cycles: New Indices and Their Synchronicity
    Economic Inquiry, 2003, 41, (1), 116-131 View citations (6)
  4. Fixing Swiss potholes: The importance and cyclical nature of improvements
    Economics Letters, 2003, 79, (3), 409-415 Downloads View citations (1)
    See also Working Paper (2003)
  5. Why predict past FOMC actions?
    Monetary Trends, 2003, (Jun) Downloads

2002

  1. Aggregate Price Shocks and Financial Instability: A Historical Analysis
    Economic Inquiry, 2002, 40, (4), 521-538 View citations (15)
    See also Working Paper (2001)
  2. Argentina Agonistes
    International Economic Trends, 2002, (Feb) Downloads
  3. Regime-dependent recession forecasts and the 2001 recession
    Review, 2002, (Nov), 29-36 Downloads View citations (9)
  4. The monetary policy innovation paradox in VARs: a "discrete" explanation
    Review, 2002, (Mar.), 43-50 Downloads View citations (4)

2001

  1. The mechanics of a successful exchange rate peg: lessons for emerging markets
    Review, 2001, (May), 47-56 Downloads View citations (3)
    See also Working Paper (2001)
  2. The preemptive Fed
    Monetary Trends, 2001, (Feb) Downloads

2000

  1. Are prime rate changes asymmetric?
    Review, 2000, (Sep), 33-40 Downloads View citations (10)
  2. FOMC decisions and bond market uncertainty
    Monetary Trends, 2000, (Jan) Downloads
  3. Spring of disconnect across stock markets?
    Monetary Trends, 2000, (Sep) Downloads

1999

  1. A barometer of financial market uncertainty
    Monetary Trends, 1999, (May) Downloads
  2. A monetary policy feedback rule in Korea's fast-growing economy
    Journal of International Financial Markets, Institutions and Money, 1999, 9, (1), 19-31 Downloads View citations (7)
    See also Working Paper (1998)
  3. Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate
    Journal of Business & Economic Statistics, 1999, 17, (4), 466-72 View citations (36)
    See also Working Paper (1998)
  4. Does foreign innovation affect domestic wage inequality?
    Journal of International Economics, 1999, 47, (1), 61-89 Downloads View citations (8)
  5. Measuring monetary policy inertia in target Fed funds rate changes
    Review, 1999, (Sep), 3-10 Downloads View citations (16)

1998

  1. A guide to nominal feedback rules and their use for monetary policy
    Review, 1998, (Jul), 55-63 Downloads View citations (11)
  2. Inverted yield curves and recessions
    Monetary Trends, 1998, (May) Downloads
  3. Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates
    The Review of Economics and Statistics, 1998, 80, (3), 420-426 Downloads View citations (41)
  4. Risk premiums among corporate bonds
    Monetary Trends, 1998, (Nov) Downloads View citations (1)

1997

  1. Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility
    Journal of Business & Economic Statistics, 1997, 15, (1), 26-34 View citations (115)
    See also Working Paper (1995)
  2. Strengthening the case for the yield curve as a predictor of U.S. recessions
    Review, 1997, (Mar), 41-51 Downloads View citations (71)
  3. The FOMC in 1996: "watchful waiting"
    Review, 1997, (Jul), 7-23 Downloads View citations (1)

1996

  1. Are federal funds rate changes consistent with price stability? Results from an indicator model
    Review, 1996, (Jan), 45-51 Downloads View citations (2)
  2. Inflation targeting in a small open economy: Empirical results for Switzerland
    Journal of Monetary Economics, 1996, 37, (1), 89-103 Downloads View citations (33)
    See also Working Paper (1995)
  3. The sensitivity of empirical studies to alternative measures of the monetary base and reserves
    Review, 1996, (Nov), 51-69 Downloads

1995

  1. Narrow vs. broad measures of money as intermediate targets: some forecast results
    Review, 1995, (Jan), 41-51 Downloads View citations (2)

1993

  1. Can nominal GDP targeting rules stabilize the economy?
    Review, 1993, (May), 15-29 Downloads View citations (3)
  2. Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity
    Review, 1993, (Jul), 37-48 Downloads View citations (4)
  3. Indicators of monetary policy: the view from implicit feedback rules
    Review, 1993, (Sep), 23-40 Downloads View citations (4)

1992

  1. The response of market interest rates to discount rate changes
    Review, 1992, (Jul), 78-91 Downloads View citations (13)

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