There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

By generalizing Hamiltons model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for...

This paper proposes a new framework for the impulse-response analysis of business cycle transitions. A cointegrated vector autoregressive Markov-switching model is found to be a congruent representation of post-war US employment and output data. In this model some parameters change according to...

This paper extends the REPIH to allow for stochastic shifts in the utility function. The motivation for this is the substantial autonomous fluctuations in UK consumption at the business cycles and seasonal frequencies as well as the influence of demographics on preferences.

We examine whether credit contributes to business cycle fluctuations by dirctly affecting consumption rather than through the new well understood investment channel.

his paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the classical' approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle; we...

This paper analyzes regime shifts in the stochastic process of economic growth of six major OECD countries over three decades. For the statistical measurement of the underlying global business cycle, we generalize Hamilton's model of the US business cycle to a Markov-switching vector...

his paper proposes a new framework for the impulse-response analysis of business cycle transitions. A cointegrated vector autoregressive Markov-switching model is found to be a congruent representation of post-war US employment and output data. In this model some parameters change according to...