Details about Michael J. Dueker

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

Access statistics for papers by Michael J. Dueker.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pdu108

Working Papers

2022

1. A Time-Varying Threshold STAR Model with Applications
   Department of Economics Working Papers, Universidad Torcuato Di Tella
   Also in Working Papers, Federal Reserve Bank of St. Louis (2022) View citations (2)
   See also Journal Article A time-varying threshold STAR model with applications, Oxford Open Economics, Oxford University Press (2023) (2023)

2010

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)
   Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (7)
   Department of Economics Working Papers, Universidad Torcuato Di Tella (2009)
   See also Journal Article Multivariate contemporaneous-threshold autoregressive models, Journal of Econometrics, Elsevier (2011) View citations (14) (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) View citations (1)

2009

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

2008

6. Inflation, Monetary Policy and Stock Market Conditions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
7. Multivariate Markov switching with weighted regime determination: giving France more weight than Finland
   Working Papers, Federal Reserve Bank of St. Louis View citations (3)

2007

8. Comment on Harding and Pagan 'The econometric analysis of some constructed binary time series'
   Working Papers, Federal Reserve Bank of St. Louis
9. Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
   Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy View citations (26)
   Also in Working Papers, Federal Reserve Bank of St. Louis (2006) View citations (4)
   Department of Economics Working Papers, Universidad Torcuato Di Tella (2006)
   See also Journal Article Contemporaneous threshold autoregressive models: Estimation, testing and forecasting, Journal of Econometrics, Elsevier (2007) View citations (29) (2007)
10. Monetary policy and stock market booms and busts in the 20th century
    Working Papers, Federal Reserve Bank of St. Louis View citations (22)
11. The price puzzle and indeterminacy in an estimated DSGE model
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)

2006

12. Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index
    Working Papers, University of Washington, Department of Economics View citations (7)
    See also Journal Article BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX, Macroeconomic Dynamics, Cambridge University Press (2006) View citations (7) (2006)
13. Can Markov switching models predict excess foreign exchange returns?
    Working Papers, Federal Reserve Bank of St. Louis View citations (27)
    See also Journal Article Can Markov switching models predict excess foreign exchange returns?, Journal of Banking & Finance, Elsevier (2007) View citations (41) (2007)
14. Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models, Economics Letters, Elsevier (2006) View citations (2) (2006)

2005

15. Forecasting macro variables with a Qual VAR business cycle turning point index
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article Forecasting macro variables with a Qual VAR business cycle turning point index, Applied Economics, Taylor & Francis Journals (2010) View citations (16) (2010)
16. Structural Breaks in Estimated DSGE Models with Indeterminacy
    Computing in Economics and Finance 2005, Society for Computational Economics
17. The practice boundaries of advanced practice nurses: an economic and legal analysis
    Working Papers, Federal Reserve Bank of St. Louis View citations (15)
    See also Journal Article The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis, Journal of Regulatory Economics, Springer (2005) View citations (15) (2005)

2004

18. Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (14)
    Also in Econometric Society 2004 Latin American Meetings, Econometric Society (2004) View citations (12)
    Working Papers, Federal Reserve Bank of St. Louis (2004) View citations (9)
19. Stochastic capital depreciation and the comovement of hours and productivity
    Working Papers, Federal Reserve Bank of St. Louis View citations (11)
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2002) View citations (6)
    Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (8)
    See also Journal Article Stochastic Capital Depreciation and the Co-movement of Hours and Productivity, The B.E. Journal of Macroeconomics, De Gruyter (2007) View citations (9) (2007)

2003

20. Business cycle detrending of macroeconomic data via a latent business cycle index
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
21. Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (82) (2005)
22. Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements
    Working Papers, Swiss National Bank, Study Center Gerzensee View citations (1)
    See also Journal Article Fixing Swiss potholes: The importance and cyclical nature of improvements, Economics Letters, Elsevier (2003) View citations (1) (2003)
23. Fixing Swiss potholes: the importance of improvements
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002)

2002

24. Directly measuring early exercise premiums using American and European S&P 500 index options
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Directly measuring early exercise premiums using American and European S&P 500 Index options, Journal of Futures Markets, John Wiley & Sons, Ltd. (2003) View citations (3) (2003)

2001

25. Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2001) View citations (7)
    See also Journal Article Aggregate price shocks and financial stability: the United Kingdom 1796-1999, Explorations in Economic History, Elsevier (2003) View citations (17) (2003)
26. Aggregate price shocks and financial instability: a historical analysis
    Working Papers, Federal Reserve Bank of St. Louis View citations (16)
    Also in NBER Historical Working Papers, National Bureau of Economic Research, Inc (2000) View citations (48)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (54)
    See also Journal Article Aggregate Price Shocks and Financial Instability: A Historical Analysis, Economic Inquiry, Western Economic Association International (2002) View citations (36) (2002)
27. European business cycles: new indices and analysis of their synchronicity
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
28. The Mechanics of a Successful Exchange-Rate Peg: Lessons for emerging Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2001) View citations (3)
    See also Journal Article The mechanics of a successful exchange rate peg: lessons for emerging markets, Review, Federal Reserve Bank of St. Louis (2001) View citations (3) (2001)

2000

29. Austria's Hard-Currency Policy: The Mechanics of Successful Exchange-Rate Peg
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
30. 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 View citations (9)

1998

31. A monetary policy feedback rule in Korea's fast-growing economy
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article A monetary policy feedback rule in Korea's fast-growing economy, Journal of International Financial Markets, Institutions and Money, Elsevier (1999) View citations (8) (1999)
32. 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 View citations (4)
    See also Journal Article Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate, Journal of Business & Economic Statistics, American Statistical Association (1999) View citations (44) (1999)

1997

33. Do bank loan rates exhibit a countercyclical mark-up?
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)
34. Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)

1996

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

1995

36. Compound volatility processes in EMS exchange rates
    Working Papers, Federal Reserve Bank of St. Louis
37. Identifying Austria's implicit monetary target: an alternative test of the \"hard currency\" policy
    Working Papers, Federal Reserve Bank of St. Louis
38. Inflation targeting in a small open economy: empirical results for Switzerland
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Inflation targeting in a small open economy: Empirical results for Switzerland, Journal of Monetary Economics, Elsevier (1996) View citations (35) (1996)
39. Markov switching in GARCH processes and mean reverting stock market volatility
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility, Journal of Business & Economic Statistics, American Statistical Association (1997) View citations (183) (1997)
40. Non-monotonic long memory dynamics in black-market premia
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
41. Tariffs and asset market structure: some basic comparative dynamics
    Working Papers, Federal Reserve Bank of St. Louis

1994

42. Asymmetry in the prime rate and firms' preference for internal finance
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
43. Product cycles, innovation and relative wages in European countries
    Working Papers, Federal Reserve Bank of St. Louis

1993

44. 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

2023

1. A time-varying threshold STAR model with applications
   Oxford Open Economics, 2023, 2, 63-98
   See also Working Paper A Time-Varying Threshold STAR Model with Applications, Department of Economics Working Papers (2022) (2022)

2014

2. Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
   Quantitative Finance, 2014, 14, (12), 2155-2170 View citations (18)

2013

3. State-Dependent Threshold Smooth Transition Autoregressive Models
   Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 View citations (8)

2012

4. Modeling dependence dynamics through copulas with regime switching
   Insurance: Mathematics and Economics, 2012, 50, (3), 346-356 View citations (49)

2011

5. Contemporaneous-Threshold Smooth Transition GARCH Models
   Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 25 View citations (1)
   See also Working Paper Contemporaneous-Threshold Smooth Transition GARCH Models, Department of Economics Working Papers (2009) (2009)
6. Multivariate contemporaneous-threshold autoregressive models
   Journal of Econometrics, 2011, 160, (2), 311-325 View citations (14)
   See also Working Paper Multivariate Contemporaneous-Threshold Autoregressive Models, UFAE and IAE Working Papers (2010) (2010)

2010

7. Forecasting macro variables with a Qual VAR business cycle turning point index
   Applied Economics, 2010, 42, (23), 2909-2920 View citations (16)
   See also Working Paper Forecasting macro variables with a Qual VAR business cycle turning point index, Working Papers (2005) View citations (3) (2005)

2009

8. Indeterminacy, change points and the price puzzle in an estimated DSGE model
   Journal of Economic Dynamics and Control, 2009, 33, (3), 624-648 View citations (21)

2007

9. Can Markov switching models predict excess foreign exchange returns?
   Journal of Banking & Finance, 2007, 31, (2), 279-296 View citations (41)
   See also Working Paper Can Markov switching models predict excess foreign exchange returns?, Working Papers (2006) View citations (27) (2006)
10. Contemporaneous threshold autoregressive models: Estimation, testing and forecasting
    Journal of Econometrics, 2007, 141, (2), 517-547 View citations (29)
    See also Working Paper Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting, Discussion Papers (2007) View citations (26) (2007)
11. Stochastic Capital Depreciation and the Co-movement of Hours and Productivity
    The B.E. Journal of Macroeconomics, 2007, 6, (3), 24 View citations (9)
    See also Working Paper Stochastic capital depreciation and the comovement of hours and productivity, Working Papers (2004) View citations (11) (2004)

2006

12. BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX
    Macroeconomic Dynamics, 2006, 10, (5), 573-594 View citations (7)
    See also Working Paper Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index, Working Papers (2006) View citations (7) (2006)
13. Do inflation targeters outperform non-targeters?
    Review, 2006, 88, (Sep), 431-450 View citations (22)
14. Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
    Economics Letters, 2006, 93, (1), 58-62 View citations (2)
    See also Working Paper Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models, Working Papers (2006) View citations (2) (2006)
15. Political economy of state homeland security grants
    National Economic Trends, 2006, (Dec)
16. The price puzzle: an update and a lesson
    National Economic Trends, 2006, (Oct) View citations (2)
17. Using cyclical regimes of output growth to predict jobless recoveries
    Review, 2006, 88, (Mar), 145-154 View citations (1)

2005

18. Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models
    Review, 2005, 87, (Nov), 719-34 View citations (10)
19. Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions
    Journal of Business & Economic Statistics, 2005, 23, 96-104 View citations (82)
    See also Working Paper Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions, Working Papers (2003) View citations (2) (2003)
20. Open mouth operations: a Swiss case study
    Monetary Trends, 2005, (Jan) View citations (2)
21. The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis
    Journal of Regulatory Economics, 2005, 27, (3), 309-330 View citations (15)
    See also Working Paper The practice boundaries of advanced practice nurses: an economic and legal analysis, Working Papers (2005) View citations (15) (2005)

2004

22. Discrete policy changes and empirical models of the federal funds rate
    Review, 2004, 86, (Nov), 61-72 View citations (6)

2003

23. Aggregate price shocks and financial stability: the United Kingdom 1796-1999
    Explorations in Economic History, 2003, 40, (2), 143-169 View citations (17)
    See also Working Paper Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999, NBER Working Papers (2001) View citations (8) (2001)
24. Directly measuring early exercise premiums using American and European S&P 500 Index options
    Journal of Futures Markets, 2003, 23, (3), 287-313 View citations (3)
    See also Working Paper Directly measuring early exercise premiums using American and European S&P 500 index options, Working Papers (2002) (2002)
25. European Business Cycles: New Indices and Their Synchronicity
    Economic Inquiry, 2003, 41, (1), 116-131 View citations (10)
26. Fixing Swiss potholes: The importance and cyclical nature of improvements
    Economics Letters, 2003, 79, (3), 409-415 View citations (1)
    See also Working Paper Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements, Working Papers (2003) View citations (1) (2003)
27. Why predict past FOMC actions?
    Monetary Trends, 2003, (Jun)

2002

28. Aggregate Price Shocks and Financial Instability: A Historical Analysis
    Economic Inquiry, 2002, 40, (4), 521-538 View citations (36)
    See also Working Paper Aggregate price shocks and financial instability: a historical analysis, Working Papers (2001) View citations (16) (2001)
29. Argentina Agonistes
    International Economic Trends, 2002, (Feb)
30. Regime-dependent recession forecasts and the 2001 recession
    Review, 2002, 84, (Nov), 29-36 View citations (10)
31. The monetary policy innovation paradox in VARs: a \\"discrete\\" explanation
    Review, 2002, 84, (Mar.), 43-50 View citations (5)

2001

32. The mechanics of a successful exchange rate peg: lessons for emerging markets
    Review, 2001, 83, (May), 47-56 View citations (3)
    See also Working Paper The Mechanics of a Successful Exchange-Rate Peg: Lessons for emerging Markets, CEPR Discussion Papers (2001) View citations (3) (2001)
33. The preemptive Fed
    Monetary Trends, 2001, (Feb)

2000

34. Are prime rate changes asymmetric?
    Review, 2000, 82, (Sep), 33-40 View citations (13)
35. FOMC decisions and bond market uncertainty
    Monetary Trends, 2000, (Jan)
36. Spring of disconnect across stock markets?
    Monetary Trends, 2000, (Sep)

1999

37. A barometer of financial market uncertainty
    Monetary Trends, 1999, (May)
38. A monetary policy feedback rule in Korea's fast-growing economy
    Journal of International Financial Markets, Institutions and Money, 1999, 9, (1), 19-31 View citations (8)
    See also Working Paper A monetary policy feedback rule in Korea's fast-growing economy, Working Papers (1998) (1998)
39. 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 (44)
    See also Working Paper Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate, Working Papers (1998) View citations (4) (1998)
40. Does foreign innovation affect domestic wage inequality?
    Journal of International Economics, 1999, 47, (1), 61-89 View citations (14)
41. Measuring monetary policy inertia in target Fed funds rate changes
    Review, 1999, 81, (Sep), 3-10 View citations (22)

1998

42. A guide to nominal feedback rules and their use for monetary policy
    Review, 1998, (Jul), 55-63 View citations (13)
43. Inverted yield curves and recessions
    Monetary Trends, 1998, (May)
44. 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 View citations (71)
45. Risk premiums among corporate bonds
    Monetary Trends, 1998, (Nov) View citations (1)

1997

46. Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility
    Journal of Business & Economic Statistics, 1997, 15, (1), 26-34 View citations (183)
    See also Working Paper Markov switching in GARCH processes and mean reverting stock market volatility, Working Papers (1995) (1995)
47. Strengthening the case for the yield curve as a predictor of U.S. recessions
    Review, 1997, (Mar), 41-51 View citations (78)
48. The FOMC in 1996: \\"watchful waiting\\"
    Review, 1997, (Jul), 7-23 View citations (1)

1996

49. Are federal funds rate changes consistent with price stability? Results from an indicator model
    Review, 1996, 78, (Jan), 45-51 View citations (2)
50. Inflation targeting in a small open economy: Empirical results for Switzerland
    Journal of Monetary Economics, 1996, 37, (1), 89-103 View citations (35)
    See also Working Paper Inflation targeting in a small open economy: empirical results for Switzerland, Working Papers (1995) View citations (4) (1995)
51. The sensitivity of empirical studies to alternative measures of the monetary base and reserves
    Review, 1996, (Nov), 51-69

1995

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

1993

53. Can nominal GDP targeting rules stabilize the economy?
    Review, 1993, (May), 15-29 View citations (4)
54. Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity
    Review, 1993, (Jul), 37-48 View citations (6)
55. Indicators of monetary policy: the view from implicit feedback rules
    Review, 1993, (Sep), 23-40 View citations (5)

1992

56. The response of market interest rates to discount rate changes
    Review, 1992, (Jul), 78-91 View citations (14)