We use the information content in the decisions of the NBER Business cycle Dating Committee to construct coincident and leading indices of economic activity for United States. Specifically, we use canonical correlation analysis to filter out the noisy information contained in the coincident...

This paper studies the relationship between international trade and output fluctuations. The authors find evidence that the business cycles of countries that are more open to international trade are more likely to by synchronized with the business cycles of their major trading partners. A...

The vector innovation structural time series framework is proposed as a way of modelling a set of related time series. Like all multi-series approaches, the aim is to exploit potential inter-series dependencies to improve the fit and forecasts. A key feature of the framework is that the series...

This paper examines real exchange rate responses to shocks in exchange rate determinants and monetary policy for eight Asian developing countries. The analysis is based on a panel pseudo-Bayesian structural vector error correction model, and the shocks are identified using sign and zero...

We show the importance of endogenous oil prices and production in the real business cycle framework. Endogenising these variables improves the model's predictions of business cycle statistics, oil related and non-oil related, relative to a situation where either is exogenous. This result is...

While there is good reason to expect crude oil production to be non-linear, previous studies that have examined the stochastic properties of crude oil production have assumed that crude oil production follows a linear process. If crude oil production is a non-linear process, conventional unit...

This study examines the causal relationship between carbon dioxide emissions, electricity consumption and economic growth within a panel vector error correction model for five ASEAN countries over the period 1980 to 2006. The long-run estimates indicate that there is a statistically significant...

Coal is the primary source of energy and predominantly used for electricity generation in India. For an emerging economy like India, the demand-supply gap is widening in Coal sector with economic growth. Considering both sides of market, we establish long run dynamics between economic growth,...

Two types of Brownian motion functionals, both time-homogeneous and time-inhomogeneous, are expanded in terms of orthonormal bases in respective Hilbert spaces. Meanwhile, different time horizons are treated from the applicability point of view. Moreover, the degrees of approximation of...

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...