The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...

This paper investigates the identification and dating of the European business cycle, using different methods. We concentrate on methods and statistical series that provides timely and accurate information about the contemporaneous state of the economy in order to provide the reader with a...

We present a general equilibrium model of the global oil market, in which the oil price, oil production, and consumption, are jointly determined as outcomes of the optimizing decisions of oil importers and oil exporters. On the supply side the oil market is modelled as a dominant firm – Saudi...

Saudi Arabia Is The Largest Player In The World Oil Market. It Maintains Ample Spare Capacity, Restricts Investment In Developing Reserves, And Its Output Is Negatively Correlated With Other Opec Producers. While This Behavior Does Not F T Into The Perfect Competition Paradigm, We Show That It...

Most of the studies existing in theoretical and empirical understanding of the macroeconomic consequences of oil price shocks have been focused on US aggregate data. In contrast to these studies, this paper assesses empirically the dynamic effects of oil price shocks on the output of the main...

An exogenous oil price shock raises inflation and contracts output, similar to a negative productivity shock. In the standard New Keynesian model, however, this does not generate a tradeoff between inflation and output gap volatility: under a strict inflation targeting policy, the output decline...

We assess the extent to which the great US macroeconomic stability since the mid-1980s can be accounted for by changes in oil shocks and the oil share in GDP. To do this we estimate a DSGE model with an oil-producing sector before and after 1984 and perform counterfactual simulations. We nest...

This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison...

The paper deals with the statistical treatment of macroeconomic data for short-run economic analysis, monitoring and control. The main applications are short-term forecasting and unobserved components estimation, including trend and cycle estimation, and, most often, seasonal adjustment. The...

In the analysis of time series, it is frequent to classify perturbations as Additive Outliers (AO), Innovative Outliers (IO), Level Shift (LS) outliers or Transitory Change (TC) outliers. In this paper, a new outlier type, the Seasonal Level Shift (SLS), is introduced in order to complete the...