Details about Marcelle Chauvet

Access statistics for papers by Marcelle Chauvet.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pch41

Working Papers

2021

1. Transfer Learning for Business Cycle Identification
   Working Papers Series, Central Bank of Brazil, Research Department View citations (6)

2019

2. Incomplete Price Adjustment and Inflation Persistence
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Incomplete Price Adjustment and Inflation Persistence, Journal of Money, Credit and Banking, Blackwell Publishing (2021) (2021)

2016

3. Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary
   Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise View citations (30)
4. Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates
   WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics View citations (27)
   Also in MPRA Paper, University Library of Munich, Germany (2016) View citations (26)
5. The Credit-Card-Services Augmented Divisia Monetary Aggregates
   WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics View citations (13)
   Also in MPRA Paper, University Library of Munich, Germany (2016) View citations (16)

2015

6. Forecasting Brazilian Output in Real Time in the Presence of breaks: a Comparison Of Linear and Nonlinear Models
   Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA

2014

7. Real-Time Nowcasting Nominal GDP Under Structural Break
   MPRA Paper, University Library of Munich, Germany View citations (3)
8. Real-Time Nowcasting of Nominal GDP Under Structural Breaks
   Staff Working Papers, Bank of Canada View citations (6)

2013

9. Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy
   Working Papers, Federal Reserve Bank of St. Louis View citations (3)
   See also Journal Article Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy, Econometric Reviews, Taylor & Francis Journals (2015) View citations (13) (2015)
10. What does financial volatility tell us about macroeconomic fluctuations?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (3)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2012) View citations (5)
    See also Journal Article What does financial volatility tell us about macroeconomic fluctuations?, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (32) (2015)

2012

11. A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
12. The Future of Oil: Geology Versus Technology
    IMF Working Papers, International Monetary Fund View citations (24)
    See also Journal Article The future of oil: Geology versus technology, International Journal of Forecasting, Elsevier (2015) View citations (13) (2015)

2010

13. Employment and the business cycle
    MPRA Paper, University Library of Munich, Germany
    Also in MPRA Paper, University Library of Munich, Germany (2010)
    See also Journal Article EMPLOYMENT AND THE BUSINESS CYCLE, Manchester School, University of Manchester (2013) View citations (5) (2013)
14. How Better Monetary Statistics Could Have Signaled the Financial Crisis
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (11)
    See also Journal Article How better monetary statistics could have signaled the financial crisis, Journal of Econometrics, Elsevier (2011) View citations (66) (2011)
15. Microfoundations of Inflation Persistence in the New Keynesian Phillips Curve
    MPRA Paper, University Library of Munich, Germany View citations (3)
    Also in FRB Atlanta CQER Working Paper, Federal Reserve Bank of Atlanta (2010) View citations (1)

2009

16. A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles
    MPRA Paper, University Library of Munich, Germany View citations (10)
17. Monitoring Business Cycles with Structural Breaks
    MPRA Paper, University Library of Munich, Germany
18. Real Time Changes in Monetary Policy
    MPRA Paper, University Library of Munich, Germany View citations (9)

2008

19. International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2008) View citations (2)
    See also Journal Article International Financial Aggregation and Index Number Theory: A Chronological Half-century Empirical Overview, Open Economies Review, Springer (2009) View citations (9) (2009)
    Chapter International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2011) (2011)
20. Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach
    MPRA Paper, University Library of Munich, Germany View citations (4)
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2008) View citations (4)
    MPRA Paper, University Library of Munich, Germany (2007) View citations (8)
    MPRA Paper, University Library of Munich, Germany (2008) View citations (4)
    See also Chapter Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2011) (2011)
    Journal Article MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH, Macroeconomic Dynamics, Cambridge University Press (2009) View citations (14) (2009)
21. The End of the Great Moderation: “We told you so.”
    MPRA Paper, University Library of Munich, Germany
22. The End of the Great Moderation?
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics View citations (2)

2005

23. A comparison of the real-time performance of business cycle dating methods
    Working Papers, Federal Reserve Bank of St. Louis View citations (14)
    See also Journal Article A Comparison of the Real-Time Performance of Business Cycle Dating Methods, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (219) (2008)
24. Dating Business Cycle Turning Points
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (69)
    See also Chapter Dating Business Cycle Turning Points, Contributions to Economic Analysis, Emerald Group Publishing Limited (2006) View citations (7) (2006)

2002

25. Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (6)
26. Identifying business cycle turning points in real time
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (5)
    See also Journal Article Identifying business cycle turning points in real time, Review, Federal Reserve Bank of St. Louis (2003) View citations (59) (2003)

2001

27. Forecasting recessions using the yield curve
    Staff Reports, Federal Reserve Bank of New York View citations (10)
    See also Journal Article Forecasting recessions using the yield curve, Journal of Forecasting, John Wiley & Sons, Ltd. (2005) View citations (133) (2005)
28. Markov switching in disaggregate unemployment rates
    Staff Reports, Federal Reserve Bank of New York
    See also Journal Article Markov switching in disaggregate unemployment rates, Empirical Economics, Springer (2002) View citations (10) (2002)
29. Recent changes in the U.S. business cycle
    Staff Reports, Federal Reserve Bank of New York View citations (28)
    See also Journal Article Recent Changes in the US Business Cycle, Manchester School, University of Manchester (2001) View citations (48) (2001)
30. The Brazilian Economic Fluctuations
    Anais do XXIX Encontro Nacional de Economia [Proceedings of the 29th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

2000

31. Leading Indicators of Inflation for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (41)

1999

32. Consumers' Sunspots, Animal Spirits, and Economic Fluctuations
    Computing in Economics and Finance 1999, Society for Computational Economics
33. Nonlinear risk
    Staff Reports, Federal Reserve Bank of New York View citations (8)
    See also Journal Article NONLINEAR RISK, Macroeconomic Dynamics, Cambridge University Press (2001) View citations (9) (2001)

Journal Articles

2023

1. Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S
   Global Finance Journal, 2023, 55, (C)

2021

2. Incomplete Price Adjustment and Inflation Persistence
   Journal of Money, Credit and Banking, 2021, 53, (6), 1337-1371
   See also Working Paper Incomplete Price Adjustment and Inflation Persistence, MPRA Paper (2019) (2019)

2018

3. The end of Brazilian big inflation: lessons to monetary policy from a standard New Keynesian model
   Empirical Economics, 2018, 55, (4), 1475-1505 View citations (3)

2017

4. Assessment of hybrid Phillips Curve specifications
   Economics Letters, 2017, 156, (C), 53-57

2016

5. A dynamic factor model of the yield curve components as a predictor of the economy
   International Journal of Forecasting, 2016, 32, (2), 324-343 View citations (13)
6. Mortgage default risk: New evidence from internet search queries
   Journal of Urban Economics, 2016, 96, (C), 91-111 View citations (31)
7. Real-time nowcasting of nominal GDP with structural breaks
   Journal of Econometrics, 2016, 191, (2), 312-324 View citations (16)

2015

8. Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy
   Econometric Reviews, 2015, 34, (1-2), 228-254 View citations (13)
   See also Working Paper Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy, Working Papers (2013) View citations (3) (2013)
9. The future of oil: Geology versus technology
   International Journal of Forecasting, 2015, 31, (1), 207-221 View citations (13)
   See also Working Paper The Future of Oil: Geology Versus Technology, IMF Working Papers (2012) View citations (24) (2012)
10. What does financial volatility tell us about macroeconomic fluctuations?
    Journal of Economic Dynamics and Control, 2015, 52, (C), 340-360 View citations (32)
    See also Working Paper What does financial volatility tell us about macroeconomic fluctuations?, Finance and Economics Discussion Series (2013) View citations (4) (2013)

2013

11. EMPLOYMENT AND THE BUSINESS CYCLE
    Manchester School, 2013, 81, 16-42 View citations (5)
    See also Working Paper Employment and the business cycle, MPRA Paper (2010) (2010)

2011

12. How better monetary statistics could have signaled the financial crisis
    Journal of Econometrics, 2011, 161, (1), 6-23 View citations (66)
    See also Working Paper How Better Monetary Statistics Could Have Signaled the Financial Crisis, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS (2010) View citations (4) (2010)
13. Leading Indicators for the Capital Goods Industry
    Brazilian Review of Econometrics, 2011, 31, (1)

2010

14. Business cycle monitoring with structural changes
    International Journal of Forecasting, 2010, 26, (4), 777-793 View citations (9)

2009

15. International Financial Aggregation and Index Number Theory: A Chronological Half-century Empirical Overview
    Open Economies Review, 2009, 20, (1), 1-37 View citations (9)
    See also Chapter International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview, World Scientific Book Chapters, 2011, 1-51 (2011) (2011)
    Working Paper International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview, MPRA Paper (2008) View citations (1) (2008)
16. MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH
    Macroeconomic Dynamics, 2009, 13, (S2), 381-412 View citations (14)
    See also Chapter Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach, World Scientific Book Chapters, 2011, 207-249 (2011) (2011)
    Working Paper Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach, MPRA Paper (2008) View citations (4) (2008)

2008

17. A Comparison of the Real-Time Performance of Business Cycle Dating Methods
    Journal of Business & Economic Statistics, 2008, 26, 42-49 View citations (219)
    See also Working Paper A comparison of the real-time performance of business cycle dating methods, Working Papers (2005) View citations (14) (2005)

2006

18. International business cycles: G7 and OECD countries
    Economic Review, 2006, 91, (Q 1), 43-54 View citations (13)

2005

19. Forecasting recessions using the yield curve
    Journal of Forecasting, 2005, 24, (2), 77-103 View citations (133)
    See also Working Paper Forecasting recessions using the yield curve, Staff Reports (2001) View citations (10) (2001)

2004

20. Leading indicators of country risk and currency crises: the Asian experience
    Economic Review, 2004, 89, (Q 1), 25 - 37 View citations (11)

2003

21. Identifying business cycle turning points in real time
    Review, 2003, 85, (Mar), 47-61 View citations (59)
    See also Working Paper Identifying business cycle turning points in real time, FRB Atlanta Working Paper (2002) View citations (5) (2002)
22. SUNSPOTS, ANIMAL SPIRITS, AND ECONOMIC FLUCTUATIONS
    Macroeconomic Dynamics, 2003, 7, (1), 140-169 View citations (26)

2002

23. Markov switching in disaggregate unemployment rates
    Empirical Economics, 2002, 27, (2), 205-232 View citations (10)
    See also Working Paper Markov switching in disaggregate unemployment rates, Staff Reports (2001) (2001)
24. Predicting a recession: evidence from the yield curve in the presence of structural breaks
    Economics Letters, 2002, 77, (2), 245-253 View citations (22)
25. The Brazilian Business and Growth Cycles
    Revista Brasileira de Economia - RBE, 2002, 56, (1) View citations (21)

2001

26. A Monthly Indicator of Brazilian GDP
    Brazilian Review of Econometrics, 2001, 21, (1) View citations (32)
27. NONLINEAR RISK
    Macroeconomic Dynamics, 2001, 5, (4), 621-646 View citations (9)
    See also Working Paper Nonlinear risk, Staff Reports (1999) View citations (8) (1999)
28. Recent Changes in the US Business Cycle
    Manchester School, 2001, 69, (5), 481-508 View citations (48)
    See also Working Paper Recent changes in the U.S. business cycle, Staff Reports (2001) View citations (28) (2001)

2000

29. Coincident and leading indicators of the stock market
    Journal of Empirical Finance, 2000, 7, (1), 87-111 View citations (83)

1998

30. An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching
    International Economic Review, 1998, 39, (4), 969-96 View citations (315)

Books

2011

1. Financial Aggregation and Index Number Theory
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (24)

Chapters

2019

1. International Stock Markets Linkages: A Dynamic Factor Model Approach
   Chapter 1 in HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, 2019, pp 3-38

2018

2. Discussion of A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy
   A chapter in Central Bank Frameworks: Evolution or Revolution?, 2018

2013

3. Forecasting Output
   Elsevier View citations (23)

2011

4. International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview
   Chapter 1 in Financial Aggregation And Index Number Theory, 2011, pp 1-51
   See also Journal Article International Financial Aggregation and Index Number Theory: A Chronological Half-century Empirical Overview, Springer (2009) View citations (9) (2009)
   Working Paper International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview, University Library of Munich, Germany (2008) View citations (1) (2008)
5. Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach
   Chapter 7 in Financial Aggregation And Index Number Theory, 2011, pp 207-249
   See also Working Paper Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach, University Library of Munich, Germany (2008) View citations (4) (2008)
   Journal Article MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH, Cambridge University Press (2009) View citations (14) (2009)

2006

6. Dating Business Cycle Turning Points
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 1-54 View citations (7)
   See also Working Paper Dating Business Cycle Turning Points, National Bureau of Economic Research, Inc (2005) View citations (69) (2005)