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Towards a Monthly Business Cycle Chronology for the Euro Area

Mönch, Emanuel; Uhlig, Harald - C.E.P.R. Discussion Papers - 2004

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...

Persistent link: https://www.econbiz.de/10005067594

Dating the Euro Area Business Cycle

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

repeat the dating exercise for the main euro area countries, evaluate the degree of synchronization, and compare the results …

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

Institutions and Business Cycles

Altug, Sumru G.; Emin, Mustafa; Neyapti, Bilin - C.E.P.R. Discussion Papers - 2012

determinants of business cycle synchronization for the countries in our sample, we also demonstrate that the bilateral proximity of …

Persistent link: https://www.econbiz.de/10011083779

Do Institutions and Culture Matter for Business Cycles?

Altug, Sumru G.; Canova, Fabio - C.E.P.R. Discussion Papers - 2013

duration of expansions is shorter; the amplitude and the output costs of recessions are larger; and cyclical synchronization is … synchronization. By contrast, differences in cultural indicators account for relative differences in the persistence, the volatility … and the synchronization of cyclical fluctuations. Theoretical and policy implications are discussed. …

Persistent link: https://www.econbiz.de/10011084013

Business Cycle Sychronization in the Enlarged EU

Darvas, Zsolt; Szapáry, György - C.E.P.R. Discussion Papers - 2005

This paper analyses the synchronization of business cycles between new and old EU members using various measures. The … main findings are that Hungary, Poland and Slovenia have achieved a high degree of synchronization for GDP, industry and … exports, but not for consumption and services. The other CEECs have achieved less or no synchronization. There has been …

Persistent link: https://www.econbiz.de/10005792241

Are European Business Cycles Close Enough to be Just One?

Camacho, Maximo; Pérez-Quirós, Gabriel; Sáiz Matute, … - C.E.P.R. Discussion Papers - 2005

We propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, always trying to ‘let the data speak’. Out of this framework, we propose a novel method to show that there is no ‘Euro economy’ that acts as...

Persistent link: https://www.econbiz.de/10005124454

Testing a DSGE Model of the EU Using Indirect Inference

Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2008

We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data; the test is based on the Wald statistic. We find that their model generates excessive variance compared with the data. But their...

Persistent link: https://www.econbiz.de/10005791817

Inference on Impulse Response Functions in Structural VAR Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011

Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...

Persistent link: https://www.econbiz.de/10009493558

Has Monetary Policy Become More Effective?

Boivin, Jean; Giannoni, Marc - C.E.P.R. Discussion Papers - 2006

We investigate the implications of changes in the structure of the US economy for monetary policy effectiveness. Estimating a VAR over the pre- and post-1980 periods, we provide evidence of a reduced effect of monetary policy shocks in the latter period. We estimate a structural model that...

Persistent link: https://www.econbiz.de/10005666463

Do Local Projections Solve the Bias Problem in Impulse Response Inference?

Kilian, Lutz; Kim, Yun Jung - C.E.P.R. Discussion Papers - 2009

It is well documented that the small-sample accuracy of asymptotic and bootstrap approximations to the pointwise distribution of VAR impulse response estimators is undermined by the estimator’s bias. A natural conjecture is that impulse response estimators based on the local projection (LP)...

Persistent link: https://www.econbiz.de/10005666791

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