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Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - C.E.P.R. Discussion Papers - 2004

show that country specific indicators play a much smaller role. We detect differences across business cycle phases but …

Persistent link: https://www.econbiz.de/10005792244

EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle

Altissimo, Filippo; Bassanetti, Antonio; Cristadoro, … - C.E.P.R. Discussion Papers - 2001

This Paper is the result of the Bank of Italy-CEPR project to construct a monthly coincident indicator of the business cycle of the euro area. The index is estimated on the basis of a harmonized data set of monthly statistics of the euro area (951 series) which we constructed from a variety of...

Persistent link: https://www.econbiz.de/10005504237

Estimating Macroeconomic Models: A Likelihood Approach

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - C.E.P.R. Discussion Papers - 2006

This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those...

Persistent link: https://www.econbiz.de/10005504323

Aggregate and Regional Disaggregate Fluctuations

Quah, Danny - C.E.P.R. Discussion Papers - 1995

This paper models fluctuations in regional disaggregates as a non-stationary, dynamically evolving distribution. Doing so enables the study of the dynamics of aggregate fluctuations jointly with those of the rich cross-section of regional disaggregates. For the United States, the leading state...

Persistent link: https://www.econbiz.de/10005504615

Dating the Euro Area Business Cycle

Artis, Michael J; Marcellino, Massimiliano; Proietti, … - C.E.P.R. Discussion Papers - 2003

In this Paper we compare alternative approaches for dating the euro area business cycle and analysing its characteristics. First, we extend a commonly used dating procedure to allow for length, size and amplitude restrictions, and to compute the probability of a phase change. Second, we apply...

Persistent link: https://www.econbiz.de/10005504746

Macro-Financial Linkages: evidence from country-specific VARs

Guarda, Paolo; Jeanfils, Philippe - C.E.P.R. Discussion Papers - 2012

spread, loans-to-GDP ratio and loans-to-deposits ratio). This VAR is estimated separately for 19 industrialised countries … over 1980Q1-2010Q4 using three alternative measures of economic activity: GDP, private consumption or total investment … fluctuations (33% of GDP variance at the 3-year horizon on average across countries) exceeding the contribution from monetary …

Persistent link: https://www.econbiz.de/10011083242

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013

for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we …

Persistent link: https://www.econbiz.de/10011083444

Protectionism Isn’t Counter-Cyclic (anymore)

Rose, Andrew K - C.E.P.R. Discussion Papers - 2012

Conventional wisdom holds that protectionism is counter-cyclic; tariffs, quotas and the like grow during recessions. While that may have been a valid description of the data before the Second World War, it is no longer accurate. In the post-war era, protectionism has not actually moved...

Persistent link: https://www.econbiz.de/10011083599

The Two Greatest. Great Recession vs. Great Moderation

Rivas, Gadea; Dolores, Maria; Gómez Loscos, Ana; … - C.E.P.R. Discussion Papers - 2014

The collapse of the global economy in 2008, following the outbreak of the financial crisis, and the ensuing economic developments of the so-called Great Recession (GR) led many economists to suggest that the Great Moderation (GM) had, indeed, come to an end. This paper offers evidence that the...

Persistent link: https://www.econbiz.de/10011083709

A Theory of Countercyclical Government-Consumption Multiplier

Michaillat, Pascal - C.E.P.R. Discussion Papers - 2012

This paper proposes a dynamic stochastic general equilibrium model in which the government-consumption multiplier doubles when unemployment rises from 5% to 8%. Theoretically, such countercyclicality arises because of a nonlinearity, namely, that labor supply is convex in a labor market...

Persistent link: https://www.econbiz.de/10011083889