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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …
Persistent link: https://www.econbiz.de/10012227436
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Growth-promoting policies and macroeconomic stability
Sutherland, Douglas; Höller, Peter - 2013
Policy reforms aimed at boosting long-run growth often have side effects – positive or negative – on an economy’s vulnerability to shocks and their propagation. Macroeconomic shocks as severe and protracted as those since 2007 warrant a reconsideration of the role growth-promoting policies...
Persistent link: https://www.econbiz.de/10010231015
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Keeping track of global trade in real time
Martínez-Martín, Jaime; Rusticelli, Elena - 2018
This paper builds an innovative composite world trade cycle index (WTI) by means of a dynamic factor model to monitor and perform short-term forecasts in real time of world trade growth of both goods and (usually neglected) services. The selection of trade indicator series is made using a...
Persistent link: https://www.econbiz.de/10011995789
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Economic policies and microeconomic stability : a literature review and some empirics
Garda, Paula; Ziemann, Volker - 2014
The decline in macroeconomic volatility from the 1980s to the onset of the Great Recession did not, in general …, translate into more microeconomic stability. While microeconomic volatility can reflect growth-generating processes, such as … creative destruction and re-allocation of resources, consumption growth volatility weighs on households’ welfare. This study …
Persistent link: https://www.econbiz.de/10010374408
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Changes in economic and financial synchronisation : a global factor analysis
Maravalle, Alessandro; Rawdanowicz, Łukasz - 2018
We estimate dynamic factor models for two sub-samples between 1995 and 2017 for up to 42 advanced and emerging-market economies to investigate changes in the contribution of global and regional factors to fluctuations in real GDP per capita growth, inflation, 10-year government bond yields and...
Persistent link: https://www.econbiz.de/10011995720
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Economic resilience : the usefulness of early warning indicators in OECD countries
Hermansen, Mikkel Nørlem; Röhn, Oliver - 2015
The global financial crisis and the high associated costs have revived the academic and policy interest in “early warning indicators” of crises. This paper provides empirical evidence on the usefulness of a new set of vulnerability indicators, proposed in a companion paper (Röhn et al.,...
Persistent link: https://www.econbiz.de/10011399585
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Do structural policies affect macroeconomic stability?
Ziemann, Volker - 2013
Using a panel of OECD countries, this study assesses the linkages between structural policies and macroeconomic stability. Business cycle and time-series characteristics of GDP and its components are employed to define various measures for economic instability and for the persistence of adverse...
Persistent link: https://www.econbiz.de/10009769653
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Debt and macroeconomic stability : debt and the business cycle
Ziemann, Volker - 2012
impact of debt on volatility and higher moments of output growth distributions. This paper fills in this gap. Debt … cycles in high-debt environments reflects higher macroeconomic volatility but also higher tail risks and adverse asymmetries …
Persistent link: https://www.econbiz.de/10009696437
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Debt and macroeconomic stability
Sutherland, Douglas; Höller, Peter; Merola, Rossana; … - 2012
Debt levels have surged since the mid-1990s and have reached historic highs across the OECD. High debt levels can create vulnerabilities, which amplify and transmit macroeconomic and asset price shocks. Furthermore, high debt levels hinder the ability of households and enterprises to smooth...
Persistent link: https://www.econbiz.de/10009696443
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How effective are automatic fiscal stabilisers in the OECD countries?
Maravalle, Alessandro; Rawdanowicz, Łukasz - 2020
This paper proposes an approach to assess the extent of automatic fiscal stabilisation of aggregate household disposable income after a specific shock. The approach is based on the national account identity of household disposable income and elements of the OECD methodology to cyclically adjust...
Persistent link: https://www.econbiz.de/10012420959