Marcelle Chauvet

 

 

Associate Professor

& Director, Latin American

Studies Program
Department of Economics
University of California
Riverside, CA 92521 USA
Office: (951) 827-1587
Fax: (951) 827-5685
Email: chauvet@ucr.edu

 

Text Box: as of March 2008 at CREFCNEW –  Probability of Recession now almost above 50%:

·   Real Time Probabilities of U.S. Recessions

 

·   Research Interests

·   Research Papers

o       Publications

o       Working Papers

·   Current Teaching 2006/2007

o       Undergraduate: Macroeconomic Theory I 103A, Macroeconomic Theory II 103B

o       Graduate: Macroeconomic Theory 201B, Advanced Monetary Theory 282F

o       Office Hours: Winter - Tuesdays and Thursdays 2:00-3:30pm

·   C.V.

CV

Education
  • University of Pennsylvania, Ph.D., Economics
  • University of Pennsylvania, M.S., Economics
  • University of Brasilia, M.S., Economic Policy
  • University of Brasilia, B.S., Economics

Research
  • Time Series Analysis and Forecasting
  • Applied Macroeconomics
  • Financial Markets
  • Development and Growth
  • Latin American Economics

Academic Employment
  • University of California, Riverside, Associate Professor
  • University of California, Riverside, Assistant Professor
  • University of Brasilia, Visiting Professor
  • Catholic University (UBEC), Brasilia, Assistant Professor

Non-Academic Employment
  • Research Director, Center for Research in Economic and Financial Cycles – CREFC, US & Brazil.
  • Associate Policy Adviser & Senior Research Economist, Research Department, Federal Reserve Bank of Atlanta.
  • Consultant, Statistical Analysis Inc., California.
  • Consultant, Economics Department, Central Bank of Brasil (BACEN), Brasilia, Brazil.
  • Consultant, Research Department, Central Bank of Brasil (BACEN), Brasilia, Brazil.
  • Macroeconomist/Consultant, Arbi Asset Management, Rio de Janeiro, Brazil.
  • Intern, The World Bank, Washington, D.C.
  • Intern, Inter-American Development Bank, Washington, D.C.
  • Economic Advisor, Ministry of Industry - SEBRAE, Brasilia, Brazil.
  • Intern, TELEBRAS - Brazilian Telecommunication Company, Brasilia, Brazil.

Teaching

Undergraduate

  • Intermediate Macroeconomics 
  • Intermediate Microeconomics
  • Macroeconomic Principles
  • Forecasting in Business & Economics
  • Natural Resources Economics

Graduate

  • Macroeconomic Theory
  • Macro Econometrics
  • Advanced Macroeconomics
  • Advanced Econometrics
  • Colloquium in Economic Theory

Publications

Journals

1.         “An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switches,” International Economic Review, Vol. 39, No. 4, November 1998, 969-96.(IER)

2.         “Stock Market Fluctuations and the Business Cycle,” Journal of Economic and Social Measurement, Vol. 25, No. 3, 4, 1998/1999, 235-258.(SMBC)

3.         “Coincident and Leading Indicators of the Stock Market,” with S. Potter, Journal of Empirical Finance, Vol. 7, No. 1, May 2000, 87-111.(CoinleadSM)

4.          “Recent Changes in the U.S. Business Cycle,” with S. Potter, Manchester School, Vol. 69, No. 5, 2001, 481-508. (ChangesBC) “Nonlinear Risk,” with S. Potter, Macroeconomic Dynamics, Vol. 5, No. 4, September 2001.(Nonlinearrisk)

5.         “A Monthly Indicator of Brazilian GDP,” in Brazilian Review of Econometrics Vol. 21, No. 1, May 2001 – Article received Honors from the Brazilian Econometric Society. (BrazilIndicatorGDP)

6.         “Leading Indicators of the Brazilian Inflation,” Economic Research and Planning (Pesquisa e Planejamento Economico), Vol. 31, 1, April 2001 (BrazilLeadingInflation);

7.         “The Brazilian Business Cycle and Growth Cycle,” Brazilian Economic Journal (Revista Brasileira de Economia), Vol. 56 nš 1, 2002. (BrazilBCGC)

8.         “Predicting Recessions: Evidence from the Yield Curve in the Presence of Structural Breaks,” with S. Potter, Economics Letters, Vol. 77, No. 2, 2002, 245-253. (PredicBreaks)

9.         “Markov Switching in Disaggregate Unemployment Rates,” with C.  Juhn and S. Potter, Empirical Economics, Vol. 27, No.2, 2002, 205-232.(MSunemployment)

                        Reprint in the Book: Advances in Markov Switching Models, ed. J.D. Hamilton and B. Raj. Studies in Empirical Economics. Physica

                        -Verlag, 61-88, 2002.

10.     “Sunspots, Animal Spirits, and Economic Fluctuations,” with J.T. Guo, Macroeconomic Dynamics, Vol. 7, No. 1, February 2003.(sunspots)

11.     “Identifying Business Cycle Turning Points in Real Time,” with Jeremy Piger, Federal Reserve Bank of Saint Louis Review, March/April, 47-62, 2003.(TPrealtime)

12.     “Maturing Capitalism and Stabilization: International Evidence,” with G. Popli in Journal of Business and Economics Research, Vol. 1, No. 12, 5-22, 2003.

13.     “Leading Indicators of Country Risk and Currency Crises “ The Asian Experience,” with Fang Dong , Economic Review, Federal Reserve Bank of Atlanta, First Quarter, Vol. 89, No. 1, 26-37, 2004.(CountryRisk)

14.     “Forecasting Recessions Using the Yield Curve,” with S. Potter, Journal of Forecasting, 24, 2, 2005. (ForecYield)

15.     “International Business Cycles: G7 and OECD Countries,” with Chengxuan Yu; Economic Review, Federal Reserve Bank of Atlanta, First Quarter, Vol. 91 No. 1, 2006, 43-54.( Bc_G7OECD)

16.     “Forecasting Brazilian Output and its Turning Points in the Presence of Breaks: A Comparison of Linear and Nonlinear Models, with E. Lima, G. Domingues, and B. Vasquez, Economic Studies (Estudos Economicos), Vol. 36 No.1, 2006. (BR_TPBreak)

17.     “A Comparison of the Real-Time Performance of Business Cycle Dating Methods,” with Jeremy Piger, Journal of Business Economics and Statistics, Vol. 26, No. 1,   42-49, 2008. (BC_RealTime)

 

Chapters in Books

18.     “Dating Business Cycle Turning Points in Real Time,” with James D. Hamilton, “Nonlinear Time Series Analysis of Business Cycles,” ed. Van Dijk, Milas, and Rothman, Elsevier’s Contributions to Economic Analysis series, 2006. (DatingBC)

19.     “Increased Stabilization and the G7 Business Cycles” in Business Fluctuations and Cycles, ed. T. Nagakawa, forthcoming 2008.

Book

20.     “Calling the Business Cycle,” with James Hamilton and Kevin Hassett, The American Enterprise Institute Press,  forthcoming 2008

Proceedings

1.         “An Empirical Analysis of Sunspots and the Business Cycles,” with J.T. Guo, in Proceedings of the II International Colloquium in Economic Dynamics and Economic Policy, ed. J.R. Teixeira and F.G. Carneiro, Brasilia, Brazil, 1999, 193-214.

2.          “Real Time Leading Indicators of the Brazilian Inflation,” Proceedings of the XXII Meetings of the Brazilian Econometric Society, Vol. 1, December 2000, Rio de Janeiro, Brazil.

3.         “Forecasting in the Presence of Structural Breaks” with S. Potter, in Proceedings of the 2001 International Business & Economics Research Conference, Reno, Nevada, October 2001, Refereed.

1.          “Recessions and the Term Structure of Interest Rates,” with S. Potter, in Proceedings of the 2001 Meeting of the Brazilian Finance Society, Brazil, October 2001.

2.         “The Brazilian Economic Fluctuations,” in Proceedings of the 2001 Meeting of the Brazilian Economic Association (ANPEC), Brazil, December 2001.

3.         “Coincident Indicators of the Brazilian Business Cycle,” in Proceedings of the 2001 Meeting of the Brazilian Econometric Society (SBE), Brazil, December 2001.

4.          “Forecasting Brazilian Output in the Presence of Structural Breaks – A Comparison of Linear and Nonlinear Models,” with E. Lima and B. Vasquez, in Proceedings of the XXIV Meetings of the Brazilian Econometric Society, 2002, Nova Friburgo, Rio de Janeiro, Brazil, 1-20.

5.         “International Economic Stabilization: Empirical Evidence,” with G. Popli, in Proceedings of the XXIV Meetings of the Brazilian Econometric Society, 2002, Nova Friburgo, Rio de Janeiro, Brazil.

6.         “Leading Indicators of Recession for the Brazilian Economy” in Proceedings of the XXVI Meetings of the Brazilian Econometric Society, 2004, Joao Pessoa, Paraiba, Brazil.

Economic Outlook

1.         “The Facts Say No,” Co-opt article on New York Times, Dec 16 2007, with Kevin Hassett. ( NoRecessionYet)

2.         “Is the U.S. Recession Over Yet?” CREFC Economic Letter, March No. 2002-01. (Recession2001)

3.         “Recuperacao Lenta ou Risco de Recessao?”, International Economic Conditions, August 2002, 1-4, International Relation Secretary (SAIN), Ministry of Finance of Brazil (Fazenda).

4.         “Slow Recovery or a Double Dip Recession?” CREFC Economic Letter, November No. 2002-02.

Working Papers

1.         “Trade and Poverty: A Business Cycle Perspective,” with Fang Dong.

2.         “Trade Liberalization, Growth, and Poverty: New Evidence from Low Income Countries,” with Fang Dong.

3.         “Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach,” with William Barnett and Heather Tierney.

4.         “Nonlinear Relationship between Interest Rates and Inflation: A Nonparametric Investigation,” with Heather Tierney.

5.         “Real Time Changes in Monetary Policy: A Nonparametric VAR Approach,” with Heather Tierney.

6.         “Monitoring Business Cycles with Structural Breaks,” with Simon Potter.

Economic Policy Papers
  • Master's Thesis (MSc in Economic Policy):  Analysis of Taxation Policy in the Rice Market of Sao Paulo, University of Brasilia (under  fellowship from CNPq and PNPE/IPEA).
  • Master's Thesis:  The Economic Impact of Changes in Value-Added Tax on Basic Food, University of Pennsylvania (under fellowship from OAS - Organization of American States)
  • Comparative Experience in the Electricity Sector of Selected Countries, (prepared for the World Bank, Africa Division)
  • Analysis of Brazilian Economic Policy: 1979-1988, (prepared for the Ministry of Industry, Brazil)
  • Financial Simulation Models for Measuring Performance and Decision Making, (prepared for the Ministry of Industry, Brazil)
  • The Liquidity Question in the Cruzado Plan, (under a grant from the University of Brasilia)

Grants, Honors, and Awards
  • Research Grant 2002-2006, University of California, Riverside.
  • Regents’ Faculty Fellowship 2000-2001, University of California, Riverside.
  • Dean's Faculty Research Incentive 1999-2000, University of California, Riverside.
  • Academic Senate Research Grant, annual, UCR.
  • Doctoral fellowship, CNPq, Ministry of Science and Technology, Brazil.
  • Master fellowship, Organization of American States.
  • Selected Thesis Fellowship, IPEA, Economic Research Institute, Brazil.
  • Master fellowship, CNPq, Ministry of Science and Technology, Brazil.
  • Scientific Initiation Scholarship, CNPq, Ministry of Science and Technology, Brazil.
  • Undergraduate Scholarship, PET, CAPES, Ministry of Education, Brazil.

Professional Activities

Editorial Board

  • Associate Editor, Journal Macroeconomic Dynamics, 2003 - Present.

Presentations at Conferences

  • 1995 I Symposium Brasiliense of Economics, Government of Brasilia/UnB, Brazil, December.
  • 1996 Meeting of the Society for Economic Dynamics and Control, Mexico City, Mexico, June.
  • 1996 Young Economist Meeting, University of California, Irvine, May.
  • 1996 Latin American Meeting of the Econometric Society, Rio de Janeiro, Brazil, August.
  • 1997 North American Meeting of the Econometric Society, New Orleans, January.
  • 1997 UCSD-UCR Conference, San Diego, April.
  • 1998 Regional Economic Indicator Models Workshop, Braga, Portugal, July.
  • 1998 Meeting of the Society for Economic Dynamics, Philadelphia, June.
  • 1998 Summer Meeting, National Bureau of Economic Research, Boston, July.
  • 1999 North American Meeting of the Econometric Society, New York, January.
  • 1999 American Economic Association Meeting, New York, January.
  • 1999 Meeting of the Society for Nonlinear Dynamics, New York, March.
  • 1999 II International Colloquium in Economic Dynamics and Economic Policy, Brasilia, Brazil, May.
  • 1999 Summer Meeting of the North American Econometric Society, Madison, June.
  • 1999 Meeting of the Latin American Econometric Society, Cancun, Mexico, August.
  • 1999 Meeting of the Society for Economic Dynamics, Alghero, Sardegna, Italy, June.
  • 1999 Conference on Nonlinear Modeling of Multivariate Macroeconomic Relations, Rotterdam, The Netherlands, September.
  • 2000 Conference "Growth and Business Cycles in Theory and Practice," University of Manchester, Manchester, United Kingdom, July.
  • 2000 Conference "One Year of Inflation Targeting," Central Bank of Brazil, Rio de Janeiro, Brazil, July.
  • 2000 14o SINAPE - National Symposium of Probability and Statistics, Brazilian Association of Statistics, Caxambu, Brazil, July.
  • 2000 OECD/CEPAL/IPEA Conference on Leading Economic Indicators, Rio de Janeiro, Brazil, December.
  • 2000 XXII Meetings of the Brazilian Econometric Society (SBE), Campinas, Sao Paulo, Brazil, December.
  • 2001 Meeting of the Society for Economic Dynamics, Stockholm, Sweden, June.
  • 2001 I Meeting of the Brazilian Finance Society, Sao Paulo, Brazil, July.
  • 2001 IX Meeting of the Brazilian Statistics Association, School of Time Series & Econometrics (ESTE), Belo Horizonte, Brazil, August.
  • 2001 FGV/USP/PUC Macroeconomic Meetings, Rio de Janeiro, Brazil, August.
  • 2001 11th Annual Meeting of the Midwest Econometrics Group, Federal Reserve Bank of Kansas City, Missouri, October.
  • 2001 XXIII Meetings of the Brazilian Econometric Society (SBE), Salvador, Brazil, December.
  • 2001 XXIX Meetings of the Brazilian Economic Association (ANPEC), Salvador, Brazil, December.
  • 2002 Conference State-Space Models, Regime Switching, and Identification, Washington University and the Federal Reserve Bank of Saint Louis, Missouri, May.
  • 2002 Conference When Does a Downturn Become a Recession? American Enterprise Institute for Public Policy Research, Washington, May.
  • 2002 North American Summer Meetings of the Econometric Society, Los Angeles, June.
  • 2002 Meeting of the Society for Economic Dynamics, New York, June.
  • 2002 Latin American Meeting of the Econometric Society, Sao Paulo, Brazil, July.
  • 2002 Conference Common Features in Rio, Rio de Janeiro, Brazil, July.
  • 2002 XXIV Meetings of the Brazilian Econometric Society (SBE), Nova Friburgo, Rio de Janeiro, Brazil, December.
  • 2003 North American Winter Meeting of the Econometric Society, Washington, January.
  • 2003 International Meeting on Income and Productivity Disparity across Country, FGV, Rio de Janeiro, Brazil, August.
  • 2003 “Current Economic Conditions:  The U.S. business Cycle and Housing Market Cycle,” Conference of the American Home Surfaces Association, Naples, Florida, September.
  • 2003 Joint Federal Reserve System Committee on Business and Financial Analysis, Federal Reserve Bank of Atlanta, November.
  • 2004 Conference Nonlinearity and the Business Cycle, Washington University in Saint Louis, Missouri, August.  
  • 2005 North American Winter Meetings of the Econometric Society, Philadelphia, January.
  • 2006 14th Annual Meeting of the Society for Nonlinear Dynamics and Econometrics, Saint Louis, Missouri, March.
  • 2007 “Real-Time Data Analysis and Methods in Economics” Federal Reserve Bank of Philadelphia, April.
  • 2007 North American Summer Meeting of the Econometric Society, Duke University, Durham, North Carolina, June.
  • 2007 27th International Forecasting Symposium, New York, June.

 

Seminar Presentations

  • 1995 University of Brasilia, Brazil, August.
  • 1996 Claremont Graduate School, Claremont, March.
  • 1996 University of Southern California, Business School, Los Angeles, May.
  • 1997 University of Southern California, Economics Department, Los Angeles, March.
  • 1997 University of California, Santa Barbara, March.
  • 1997 University of California, San Diego, May.
  • 1997 University of California, Davis, May.
  • 1997 University of California, Irvine, November.
  • 1999 Federal Reserve Bank of New York, March.
  • 1999 State University of Maringa, Parana, Brazil, July.
  • 1999 Getulio Vargas Foundation (FGV), Rio de Janeiro, Brazil, July.
  • 1999 Catholic Pontific University (PUC), Rio de Janeiro, Brazil, August.
  • 1999 Central Bank of Brazil, Brasilia, Brazil, August.
  • 1999 University of Brasilia, Brazil, July.
  • 1999 University of Southern California, Business School, December.
  • 2000 Central Bank of Brazil, Brasilia, Brazil (Teleconference), April.
  • 2000 University of California, Riverside, Engineering Department, March.
  • 2000 Federal University