Michael Dueker

Seattle, WA 98101 USA
Mike Dueker may be reached at duekerm at gmail.com.


Commentary and Forecasts

Business cycle index and forecasts, posted monthly on the 15th 
Ben Bernanke, commenting on Dueker and Serletis (1996)
Econbrowser , February 5, 2008, Forecasting a 2008 recession
Econbrowser , December 9, 2008, Forecasting a July/August 2009 trough date, 4.9 million in job losses and a jobless recovery
Econbrowser , September 11, 2009, Calling a July 2009 trough date and forecasting an anemic recovery 
Econbrowser , October 8, 2011, Countering the claim that another U.S. recession was a done deal as of Sept. 30, 2011 

Published Papers

           "Assessing Dependence between Financial Market Indexes Using Conditional Time-Varying Copulas: Applications to Value at Risk (VaR)''
          with O. Candido and F. Ziegelmann
          Quantitative Finance, forthcoming.
          "State-Dependent Smooth Transition Autoregressive Models''
          with Z. Psaradakis, M. Sola and F. Spagnolo
          Oxford Bulletin of Economics and Statistics, forthcoming.
          "Modeling Dependence Dynamics through Copulas with Regime Switching''
          with O. Candido and F. Ziegelmann
          Insurance: Mathematics and Finance, May 2012, 50 (3), pp. 346-56.
          "Multivariate Contemporaneous Threshold Autoregressive Models"
          with Zacharias Psaradakis, Martin Sola, and Fabio Spagnolo
          Journal of Econometrics, March 2011, 160 (2), pp. 311-25.
          Abstract  | Full Text (PDF)              
          "Contemporaneous-Threshold Smooth Transition GARCH Models"
          with Z. Psaradakis, M. Sola and F. Spagnolo
          Studies in Nonlinear Dynamics and Econometrics, March 2011, 15 (2).

"Indeterminacy, Change Points and the Price Puzzle in an Estimated DSGE Model"
with Anatoliy Belaygorod
Journal of Economic Dynamics and Control, March 2009, 33(3), pp. 624-48.
Abstract | Full Text (PDF)

"Forecasting Output with Information from Business Cycle Turning Points: A Qualitative Variable VAR" 
with Katrin Wesche
Applied Economics, April 2009,
Abstract | Full Text (PDF)
"Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting"
with Martin Sola and Fabio Spagnolo
Journal of Econometrics, December 2007, 141(2), pp. 517-47.
Abstract | Full Text (PDF)

"Can Markov Switching Models Predict Excess Foreign Exchange Returns?"
with Christopher J. Neely
Journal of Banking and Finance, February 2007, 31(2), pp. 279-96.
Abstract | Full Text (PDF)

"Stochastic Capital Depreciation and the Comovement of Hours and Productivity"
with Andreas M. Fischer and Robert D. Dittmar
Topics in Macroeconomics, January 2007. 6(3), Article 6.
Abstract | Full Text (PDF)

"Business Cycle Filtering of Macroeconomic Data Via a Latent Business Cycle Index"
with Charles R. Nelson
Macroeconomic Dynamics, November 2006, 10(5), pp. 573-94.
Abstract | Full Text (PDF)

"Kalman Filtering with Truncated Normal State Variables for Bayesian Estimation of Macroeconomic Models"
Economics Letters, October 2006, 93(1), pp. 58-62.
Abstract | Full Text (PDF)

"The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis"
with Stephen J. Spurr, Ada K. Jacox, and David E. Kalist
Journal of Regulatory Economics, May 2005, 27(3), pp. 309-30.
Abstract | Full Text (PDF)

"Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions"
Journal of Business and Economic Statistics, January 2005, 23(1), pp. 96-104.
Abstract | Full Text (PDF)

"Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements"
with Andreas M. Fischer
Economics Letters, June 2003, 79(3), pp. 409-15
Abstract | Full Text (PDF)

"Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999"
with Michael D. Bordo and David C. Wheelock
Explorations in Economic History, April 2003, 40(2), pp. 143-69
Abstract | Full Text (PDF)

"Directly Measuring Early Exercise Premiums Using American and European S&P 500 Index Options"
with Thomas W. Miller, Jr.
Journal of Futures Markets, March 2003, 23(3), pp. 287-313.
Abstract | Full Text (PDF)

"European Business Cycles: New Indices and Analysis of Their Synchronicity"
with Katrin Wesche
Economic Inquiry, January 2003, 41(1), pp. 116-31.
Abstract | Full Text (PDF)

"Aggregate Price Shocks and Financial Instability: A Historical Analysis"
with Michael D. Bordo and David C. Wheelock
Economic Inquiry, October 2002, 40(4), pp. 521-38.
Abstract | Full Text (PDF)

"Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs Sampling Approach to the Bank Prime Rate"
Journal of Business and Economic Statistics, October 1999, 17, pp. 466-72.
Abstract | Full Text (PDF)

"A Monetary Policy Feedback Rule in Korea's Fast-Growing Economy"
with Gyuhan Kim
Journal of International Financial Markets, Institutions & Money January 1999, 9(1), pp. 19-31.
Abstract | Full Text (PDF)

"Does Foreign Innovation Affect Domestic Wage Inequality?"
with Alison Butler
Journal of International Economics, January 1999, 47(1), pp. 61-89.

"Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates"
with Richard Startz
Review of Economics and Statistics, 1998, 80, pp. 420-26.
Abstract | Full Text (PDF)

"Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility"
Journal of Business and Economic Statistics, 1997, 15, pp. 26-34.
Abstract | Full Text (PDF)

"Inflation Targeting in a Small Open Economy: Empirical Results for Switzerland"
with Andreas Fischer
Journal of Monetary Economics, 1996, 47, pp. 89-103.
Abstract | Full Text (PDF)

"Do Inflation Targets Redefine Central Bank Inflation Preferences? Results from an Indicator Model"
with Andreas Fischer
in Alders, Koedijk, Kool, and Winder, eds., Monetary Policy in a Converging Europe. Amsterdam: Kluwer, 1996, pp. 21-37.

"A Guide to Nominal Feedback Rules and Their Use for Monetary Policy"
with Andreas Fischer
Swiss National Bank Quarterly Bulletin, 1994,4, pp. 327-35.

Working Papers

            "A Time-Varying Threshold STAR Model of Unemployment and the Natural Rate" - September 2010
            with Michael Owyang and Martin Sola
            Federal Reserve Bank of St. Louis Working Paper 2010-029A
            Abstract | Full Text (PDF 399K)

2008-012 "Inflation, Monetary Policy and Stock Market Conditions" - May 2008
with Michael D. Bordo and David C. Wheelock
Abstract | Full Text (PDF)

2008-001 "Multivariate Markov Switching With Weighted Regime Determination: Giving France More Weight than Finland" - January 2008
with Martin Sola
Abstract | Full Text (PDF)

2007-020 "Monetary Policy and Stock Market Booms and Busts in the 20th Century" - May 2007
with Michael D. Bordo and David C. Wheelock
Abstract | Full Text (PDF)

More Working Papers

St. Louis Fed Review Articles

"Do Inflation Targeters Outperform Non-targeters?"
with Andreas M. Fischer
Federal Reserve Bank of St. Louis Review, September/October 2006, 88(5), pp. 431-50.

"Using Cyclical Regimes of Output Growth to Predict Jobless Recoveries"
Federal Reserve Bank of St. Louis Review, March/April 2006, 88(2), pp. 145-53.

"Discrete Monetary Policy Changes and Changing Inflation Targets in Estimated Dynamic Stochastic General Equilibrium Models"
with Anatoliy Belaygorod
Federal Reserve Bank of St. Louis Review, November/December 2005, 87(6), pp. 719-33.

More Review Articles


Degree Institution Major
Ph.D. University of Washington Economics
M.A. Northwestern University Economics
B.A. University of Oregon Mathematics