The paper introduces a two-factor model of the common leading and coincident economic indicators. Both factors are unobserved and each of them captures the dynamics of a corresponding group of the observed time series. The common leading factor is assumed to Granger-cause the common coincident...

Composite economic indicator is a very useful tool designed to trace and predict the business cycle conditions. In this paper we study possible extensions of this approach intended to cope with the potential data problems caused by various structural breaks affecting both level and volatility of...

The analysis and prediction of the short-run economic dynamics, or the evolution of the business cycle, often require a construction of the composite economic indicator (CEI). This indicator may be endowed with nonlinear dynamics to take care of the possible asymmetries between different phases...

In this paper, we consider a coincident economic indicator model with regime-switching dynamics and with the time series observed at different frequencies, for instance, at monthly and quarterly frequencies. Until now the only solution was to drop the lower frequency series and to estimate the...

This paper seeks to elaborate econometric models that can be used to forecast the turning points of the Belgian business cycle. We begin by suggesting three reference cycle, which we hope will fill the void of an official reference chronology for Belgium. We then construct two different types of...

Two extensions of a parametric model are proposed, each one involving the score function of an alternative parametric model. We show that the encompassing hypothesis is equivalent to standard conditions on the score of each of the extended models. The condition on the first extension gives rise...

In this paper we identify and try to predict the turning points of the Japanese business cycle. As a measure of the business cycle we use a composite economic indicator (CEI). This indicator is endowed with nonlinear dynamics to capture the asymmetries between different cyclical phases. Two...

This article proposes to insert a bank capital channel (BCC) in the theoretical framework proposed by Bernanke et al. (1999) (BGG), in order 1) to evaluate the mean features of the BCC and 2) to assess the benefits of a countercyclical prudential measure. In a costly state verification...

One of the important tools of the business cycle research are the signal-extraction techniques (SETs). They allow to study both the stylized facts and the turning points of the business cycles. However, these are highly sensitive to the SETs. In this paper we try to see how some of the SETs...

Différentes heuristiques ont été avancées par les psychologues et les économistes afin de rendre compte des comportements sur les marchés financiers. Elles soulignent les biais cognitifs qui affectent les croyances individuelles, et s’efforcent d’expliquer dans une certaine mesure les...