This paper provides some further tests for the proposition that a larger public sector leads to smaller output volatility. Both Gali and Fatas & Mihov have provided some evidence which appears to support this proposition. Their evidence is, however, based on a relatively small sample of...

This paper examines the impact of macroeconomic policy shocks in a Real- Business-Cycle Model with money. In addition to technology shocks, I include government consumption, government investment, tax rate and monetary policy as sources of random disturbances. Money is introduced in a...

This paper introduces an upgraded version of MSVARlib, a Gauss and Ox- Gauss compliant library, focusing on Multivariate Markov Switching Regressions in their most general specification. This new set of procedures allows to estimate, through classical optimization methods, models belonging to...

A methodology based on the multivariate generalized Butterwoth filter for extracting the business cycles of the whole economy and of its productive sectors is developed. The method is then illustrated through an application to the Italian gross value added time series of the main economic sectors.

This paper explores 35 years of the American business cycle with the Hidden Markov Model (HMM) as a monitoring tool using monthly data. It exhibits ten US time series, which offer reliable information to detect recessions in real time. It also assesses the performances of different and...

This paper explores the American business cycle with the Hidden Markov Model (HMM) as a monitoring tool using monthly data. It exhibits ten US time series which offer reliable information to detect recessions in real time. It also proposes and assesses the performances of different and...

In this paper we reconcile two opposing views about the elasticity of intertemporal substitution in consumption (EIS). Empirical studies using aggregate consumption data typically find that the EIS is close to zero (Hall, 1988). Calibrated models designed to match growth and fluctuations facts...

Theoretical study identifying one modality with conditions necesary for the financial stabilization of an inherently unstable system; and 5040 other unstable dynamic modes. It draws on knowledge made available by the academic field of Control Engineering.

We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the...

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are fundamental? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the firrst question is 'yes' and that...