1 Introduction -- 2 ‘Classical’ Techniques of Modelling Trends and Cycles -- 3 Stochastic Trends and Cycles -- 4 Filtering Economic Time Series -- 5 Nonlinear and Nonparametric Trend and Cycle Modelling -- 6 Multivariate Modelling of Trends and Cycles -- 7 Conclusions.

The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the...

The year-long consultations on Basel II mirror the international popularity of capital requirements as a regulatory instrument. Yet, the impact of capital requirements on banks' behavior is not fully understood. The aim of this study is to contribute to this understanding by answering the...

Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles...