Marcelle Chauvet

University of California Riverside

Professor of Economics

900 University Avenue

4136 Sproul Hall

Riverside, CA 92521

United States

http://https://sites.google.com/site/marcellechauvet/

SCHOLARLY PAPERS

29

DOWNLOADS
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Top 3,418

in Total Papers Downloads

10,915

CITATIONS
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SSRN RANKINGS

Top 8,909

in Total Papers Citations

89

Scholarly Papers (29)

1.
Downloads 2,503 ( 4,894)
Citation 5

Stock Market Fluctuations and the Business Cycle

Number of pages: 31 Posted: 24 Sep 2001
Marcelle Chauvet
University of California Riverside
Downloads 2,503 (4,790)
Citation 5

Abstract:

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Business Cycle, Stock Market, Dynamic Factor, Markov Switching

Stock Market Fluctuations and the Business Cycle

Journal of Economic and Social Measurement, Vol. 25, No. 3, 4, 1998/1999
Posted: 23 Oct 2001
Marcelle Chauvet
University of California Riverside

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Business Cycle, Stock Market, Dynamic Factor, Markov Switching

2.

Coincident and Leading Indicators of the Stock Market

Number of pages: 35 Posted: 11 Aug 2000
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York
Downloads 1,292 (14,559)
Citation 3

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3.

Forecasting Recessions Using the Yield Curve

FRB of New York Staff Report No. 134, University of California Working Paper Series
Number of pages: 33 Posted: 30 Jun 2001
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York
Downloads 1,052 (19,890)
Citation 6

Abstract:

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Recession Forecast, Yield Curve, Structural Breaks, Bayesian, Classical Methods

4.

A Monthly Indicator of Brazilian GDP

UCR Department of Economics Working Paper
Number of pages: 32 Posted: 23 Jan 2001
Marcelle Chauvet
University of California Riverside
Downloads 776 (30,775)
Citation 1

Abstract:

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Business Cycle, Dynamic Factor, Markov Switching, Composite Indicators, Kalman filter, Filtered Probabilities, Forecast.

5.

Predicting a Recession: Evidence from the Yield Curve in the Presence of Structural Breaks

University of California, Riverside
Number of pages: 9 Posted: 19 May 2001
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York
Downloads 591 (44,462)
Citation 3

Abstract:

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Recession Forecast, Yield Curve, Structural Breaks, Bayesian, Classical Methods

6.

The Brazilian Business Cycle and Growth Cycle

UC Riverside Economics Working Paper No. 2000
Number of pages: 35 Posted: 19 Dec 2000
Marcelle Chauvet
University of California Riverside
Downloads 570 (46,587)
Citation 1

Abstract:

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Business Cycle, Growth Cycle, Markov Switching, Non-Parametric Rules

7.

Identifying Business Cycle Turning Points in Real Time

FRB of Atlanta Working Paper No. 2002-27
Number of pages: 35 Posted: 19 Feb 2003
Marcelle Chauvet and Jeremy Piger
University of California Riverside and University of Oregon - Department of Economics
Downloads 552 (48,549)

Abstract:

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Business cycles, real time forecasting, Markov switching, turning points

8.
Downloads 505 ( 54,282)
Citation 2

Recent Changes in the U.S. Business Cycle

Number of pages: 37 Posted: 23 Oct 2001
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York
Downloads 460 (60,441)
Citation 4

Abstract:

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Recession, Common Factor, Business Cycle, Bayesian Methods

Recent Changes in the U.S. Business Cycle

FRB of New York Staff Report No. 126
Number of pages: 37 Posted: 09 Aug 2006
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York
Downloads 45 (410,872)
Citation 4

Abstract:

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business cycle, recession, dynamic factor, bayesian

Recent Changes in the U.S. Business Cycle

The Manchester School, Forthcoming
Posted: 04 May 2001
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York

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Recession, Common Factor, Business Cycle, Bayesian Methods.

9.
Downloads 473 ( 59,003)

Nonlinear Risk

FRB of New York Staff Report No. 61
Number of pages: 34 Posted: 14 May 1999
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York
Downloads 473 (58,359)
Citation 4

Abstract:

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Nonlinear Risk

Macroeconomic Dynamics, Vol. 5, No. 4, September 2001
Posted: 30 May 2001
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York

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10.

Real Time Leading Indicators of the Brazilian Inflation

UC Riverside Economics Working Paper
Number of pages: 40 Posted: 06 Feb 2001
Marcelle Chauvet
University of California Riverside
Downloads 388 (74,911)

Abstract:

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leading indicators, inflation targeting, real time forecasting, Brazil, event timing forecasts

Sunspots, Animal Spirits, and Economic Fluctuations

Number of pages: 37 Posted: 20 Sep 2001
Marcelle Chauvet and Jang-Ting Guo
University of California Riverside and University of California, Riverside (UCR) - Department of Economics
Downloads 387 (74,450)

Abstract:

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Multiple Equilibria, Sunspots, Animal Spirits, Economic Fluctuations, Markov Switching Models

Sunspots, Animal Spirits, and Economic Fluctuations

Macroeconomic Dynamics, Forthcoming
Posted: 23 Oct 2001
Marcelle Chauvet and Jang-Ting Guo
University of California Riverside and University of California, Riverside (UCR) - Department of Economics

Abstract:

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Multiple Equilibria, Sunspots, Animal Spirits, Economic Fluctuations, Markov Switching Models

Markov Switching in Disaggregate Unemployment Rates

FRB of New York Staff Report No. 132
Number of pages: 38 Posted: 13 Sep 2001
Marcelle Chauvet, Chinhui Juhn and Simon Potter
University of California Riverside, University of Houston - Department of Economics and Federal Reserve Bank of New York
Downloads 313 (95,066)

Abstract:

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Markov Switching, Unemployment, Common Factor, Asymmetries, Business Cycle, Baby Boom, Bayesian Methods

Markov Switching in Disaggregate Unemployment Rates

Empirical Economics, Forthcoming
Posted: 20 Jun 2001
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York

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Markov Switching, Unemployment, Common Factor, Asymmetries, Business Cycle, Baby Boom, Bayesian Methods

13.

Fear and Loathing in the Housing Market: Evidence from Search Query Data

Number of pages: 48 Posted: 19 Sep 2012 Last Revised: 08 Nov 2016
Marcelle Chauvet, Stuart A. Gabriel and Chandler Lutz
University of California Riverside, University of California, Los Angeles - Anderson School of Management and Copenhagen Business School
Downloads 248 (122,394)
Citation 4

Abstract:

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Housing Distress, Housing Fear, Housing Crises

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

Number of pages: 46 Posted: 23 Nov 2011 Last Revised: 30 Apr 2015
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 89 (286,329)
Citation 1

Abstract:

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Financial Volatility, Real-time Data, Predictive Ability Tests, Dynamic Factor Model, Markov Switching

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2013-61
Number of pages: 46 Posted: 06 Nov 2013
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 53 (382,233)
Citation 2

Abstract:

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Financial volatility, real-time data, predictive ability tests, dynamic factor model, Markov switching

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2012-09
Number of pages: 33 Posted: 04 May 2012
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 50 (392,528)
Citation 4

Abstract:

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Realized Volatility, Business Cycles, Forecasting, Probit model, Dynamic Factor Model, Markov Switching

15.

Is the U.S. Recession Over Yet

CREFC Economic Letter, No. 2002-01, March 20, 2002
Number of pages: 4 Posted: 04 Jun 2002
Marcelle Chauvet
University of California Riverside
Downloads 155 (189,024)
Citation 1

Abstract:

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Business cycle, turning points, Markov switching, Dynamic Factor, Real Time Forecast

16.

The Future of Oil: Geology Versus Technology

IMF Working Paper No. 12/109
Number of pages: 34 Posted: 11 May 2013
International Monetary Fund (IMF), University of California Riverside, International Monetary Fund (IMF), Bank of England, International Monetary Fund (IMF) - Research Department, International Monetary Fund (IMF) and affiliation not provided to SSRN
Downloads 145 (199,725)
Citation 1

Abstract:

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Oil prices, Economic models, External shocks, Oil production, oil supply, oil demand, world oil production, higher oil prices, oil market, output growth, oil shock, world economy, aggregate demand, crude oil, conventional oil, oil and gas, fossil fuels, oil sector, oil reserves, world oil demand, oil industry, world growth, oil shale, oil production forecasts, world output, ecological economics, global supply, price fluctuations, oil recovery, dynamic effects, crude oil market, income elasticities, increased oil prices, oil producers, global oil production, oil price fluctuations, million barrels, energy information administration, oil markets, nonrenewable resources, oil price changes, opec

17.

A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles

Number of pages: 46 Posted: 07 May 2009
Marcelle Chauvet and Zeynep Senyuz
University of California Riverside and Board of Governors of the Federal Reserve System
Downloads 135 (211,618)
Citation 6

Abstract:

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Forecasting, Business Cycles, Yield Curve, Dynamic Factor Models, Markov Switching

18.

A Comparison of the Real-Time Performance of Business Cycle Dating Methods

FRB St. Louis Working Paper No. 2005-021A
Number of pages: 32 Posted: 28 Jul 2005
Marcelle Chauvet and Jeremy Piger
University of California Riverside and University of Oregon - Department of Economics
Downloads 135 (211,618)
Citation 4

Abstract:

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Turning Point, Markov-Switching, Dynamic-Factor Model, Vintage Data

19.

A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy

FEDS Working Paper No. 2012-32
Number of pages: 45 Posted: 27 Jun 2012
Marcelle Chauvet and Zeynep Senyuz
University of California Riverside and Board of Governors of the Federal Reserve System
Downloads 100 (263,458)
Citation 2

Abstract:

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Forecasting, business cycles, dynamic factor models, Markov switching

20.

Dating Business Cycle Turning Points

NBER Working Paper No. w11422
Number of pages: 72 Posted: 06 Jul 2005 Last Revised: 18 Sep 2010
Marcelle Chauvet and James D. Hamilton
University of California Riverside and University of California at San Diego
Downloads 88 (286,024)

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21.

Forecasting Brazilian Output in the Presence of Breaks: A Comparison of Linear and Nonlinear Models

FRB of Atlanta Working Paper No. 2002-28
Number of pages: 27 Posted: 16 Apr 2003
Marcelle Chauvet, Elcyon C.R. Lima and Brisne Vasquez
University of California Riverside, Institute of Applied Economic Research (IPEA) and Institute of Applied Economic Research (IPEA)
Downloads 86 (290,283)

Abstract:

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Forecast, business cycle, nonlinearities, structural breaks, Markov switching

22.

Real Time Changes in Monetary Policy

Number of pages: 38 Posted: 08 May 2009
Marcelle Chauvet and Heather L. R. Tierney
University of California Riverside and Purdue University Fort Wayne
Downloads 69 (329,890)
Citation 2

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Monetary Policy, Taylor Rule, Nonlinearity, Structural Vector Autoregression, Autoregressive Conditional Heteroskedasticity, Local Linear Estimation

23.

Business Cycle Monitoring with Structural Changes

Number of pages: 27 Posted: 27 Aug 2008 Last Revised: 21 Dec 2009
Marcelle Chauvet and Simon Potter
University of California Riverside and Federal Reserve Bank of New York
Downloads 61 (351,654)

Abstract:

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Recession, Instability, Bayesian Methods, Probit model, Breaks

24.

Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach

Number of pages: 39 Posted: 27 Aug 2008
University of Kansas - Department of Economics, University of California Riverside and Purdue University Fort Wayne
Downloads 43 (410,581)
Citation 4

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Measurement error, monetary aggregation, Divisia index, aggregation, state space, Markov switching, monetary policy, index number theory, factor models

25.

Real-Time Nowcasting of Nominal GDP Under Structural Breaks

Number of pages: 34 Posted: 18 Nov 2015
William A. Barnett, Marcelle Chauvet and Danilo Leiva-Leon
University of Kansas - Department of Economics, University of California Riverside and Central Bank of Chile
Downloads 21 (512,982)

Abstract:

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26.

Microfoundations of Inflation Persistence in the New Keynesian Phillips Curve

FRB Atlanta CQER Working Paper No. 10-05
Number of pages: 27 Posted: 22 Mar 2015
Marcelle Chauvet and Insu Kim
University of California Riverside and University of California
Downloads 21 (512,982)

Abstract:

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inflation persistence, Phillips curve, sticky prices, convex costs

27.

Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy

FRB of St. Louis Working Paper No. 2013-018A
Number of pages: 32 Posted: 24 May 2013
Richard G. Anderson, Marcelle Chauvet and Barry E. Jones
Federal Reserve Bank of St. Louis - Research Division, University of California Riverside and SUNY at Binghamton - Department of Economics
Downloads 14 (553,952)

Abstract:

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prices, Divisia monetary aggregates, income, unobserved components, permanent component, transitory component, turning point analysis, Markov-switching

28.

Employment and the Business Cycle

The Manchester School, Vol. 81, pp. 16-42, 2013
Number of pages: 27 Posted: 31 Oct 2013
Marcelle Chauvet and Jeremy Piger
University of California Riverside and University of Oregon - Department of Economics
Downloads 0 (666,167)
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29.

Financial Aggregation and Index Number Theory

SURVEYS ON THEORIES IN ECONOMICS AND BUSINESS ADMINISTRATION, Vol. 2, World Scientific, 2010
Posted: 29 Mar 2011
William A. Barnett and Marcelle Chauvet
University of Kansas - Department of Economics and University of California Riverside

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Index Number Theory, Aggregation Theory, Money, Financial Assets, Monetary Aggregates