Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneousfirm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty...

Recent work on policy rules under uncertainty have highlighted the impact of output gap measurement errors on economic outcomes and their importance in the formulation of appropriate policy rules. This paper investigates the reliability of current estimates of the output gap in Canada. We begin...

The paper presents empirical work on short-run and long-run comovement between the German, French and Italian aggregates of private consumption, business investment, exports, imports, GDP, and changes in inventories. In country-specific data sets, cointegration analyses are carried out both to...

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR consisting of four variables. First, the paper looks at the ex ante inflation-output-growth volatility trade-off for a forward-looking policy aiming at a convex combination of a strict inflation and...

This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

In this paper, we analyze which currencies can be regarded as safe haven currencies. Our empirical approach allows us to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other fundamental determinants. We therefore address the question...

We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...