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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009

A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...

Persistent link: https://www.econbiz.de/10005000442

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

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

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

International Business Cycle Spillovers

Yilmaz, Kamil - C.E.P.R. Discussion Papers - 2010

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...

Persistent link: https://www.econbiz.de/10011083760

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

DeMiguel, Victor; Nogales, Francisco J.; Uppal, Raman - C.E.P.R. Discussion Papers - 2013

We study whether investors can exploit stock return serial dependence to improve out-of- sample portfolio performance. To do this, we first show that a vector-autoregressive (VAR) model estimated with ridge regression captures daily stock return serial dependence in a stable manner. Second, we...

Persistent link: https://www.econbiz.de/10011083785