A method to evaluate cyclical models not requiring knowledge of the DGP and the exact specification of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify structural shocks in the data and others to evaluate the class or contrast...

We examine the relationship between institutions, culture and cyclical fluctuations for a sample of 45 European, Middle Eastern and North African countries. Better governance is associated with shorter and less severe contractions and milder expansions. Certain cultural traits, such as lack of...

We propose a method to estimate time invariant cyclical DSGE models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural and non-structural parameters...

We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients...

Many empirical studies of business cycles have followed the practise of applying the Hodrick-Prescott filter for cross-country comparisons. The standard procedure is to set the weight \lambda, which determines the 'smoothness' of the trend equal to 1600. We show that if this value is used for...

This paper reconsiders the empirical evidence on the asymmetric output effects of monetary policy. Asymmetric effects is a common feature of many theoretical models, and there are many different versions of such asymmetries. We concentrate on the distinctions between positive and negative...

We date turning points of the reference cycle for 19 Mediterranean countries and analyze their structure and interdependences. Fluctuations are volatile and not highly correlated across countries; recessions are deep but asynchronous making average output losses in the area limited....

In absence of comparable macroeconomic indicators for most of the Latin American economies beyond the 1930s, this paper presents an estimate of the apparent consumption per head of coal and petroleum for 25 countries of Latin American and the Caribbean for the year 1925, doubling the number of...

In the absence of comparable macroeconomic indicators for most of the Latin American economies before the 1930s, the apparent consumption of energy is used in this paper as a proxy of the degree of modernisation of Latin America and the Caribbean. This paper presents an estimate of the apparent...

This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non zero long run partial correlations. We then introduce a two step LASSO...