This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine. we construct several monthly series of Euro area GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration...

This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and...

This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine. we construct several monthly series of Euro area GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration...

This paper is an exercise in dating the Euro area business cycle on a monthly basis. We construct several monthly European real GDP series, and then apply the Bry-Boschan (1971) procedure. Using this method we identify four business cycles. Studying further indicators of business activity, we...

Maravall and del Riacute;o (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained...

In this paper we investigate the main features of the Italian financial cycle, extracted by means of a structural trend-cycle decomposition of the credit-to-GDP ratio, using annual observations from 1861 to 2011. In order to draw conclusions based on solid historical data, we provide a thorough...

Using adequate composite indicators, indeed together with other specific models, to analyse high frequency time series and to obtain sort-term forecasts can improve information for business environment, in modern era characterised by an accelerate process of changing. In our study we tried to...

This paper compares the results of applying several detrending methods to the Chilean monthly economic activity index (IMACEC) using real-time data sets. We show that data revisions are extremely important and that they can lead to systematically inconsistent estimates of the trend component....

Hamilton (2018) argues that one should never use the Hodrick-Prescott (HP) filter to detrend economic time series and proposes an alternative approach. This comment reconsiders Hamilton's case against the HP filter, emphasizing two simple points. First, in the empirical example Hamilton...

The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and...