The income cycles that have been experienced by six OECD countries over the past 24 years are analysed. The amplitude of the cycles relative to the level of aggregate income varies amongst the countries, as does the degree of the damping that affects the cycles. The study aims to reveal both of...

This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of...

This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the...

A growing empirical literature has considered the impact of uncertainty using SVAR models that include proxies for uncertainty shocks as endogenous variables. In this paper we consider the possible impact of measurement error in the uncertainty shock proxies on the estimated impulse responses...

This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external instruments is effective in recovering the underlying...

Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on the state financial markets are in when they occur....

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

This paper evaluates the performance of structural VAR models in estimating the impact of credit supply shocks. In a simple Monte-Carlo experiment, we generate data from a DSGE model that features bank lending and credit supply shocks and use SVARs to try and recover the impulse responses to...

In this paper we examine the effects of the services provided by public infrastructure on the cost structure, private input demands, and productivity performance of twenty two-digit Greek manufacturing industries. The model of the paper is the dual cost function. Although the effects of public...

We use the ARD micro level data set for UK manufacturing to document job creation and job destruction (JC&D). Due to data limitations, previous UK studies were unable to use entry and exit in calculations of JC&D and/or were are at the firm rather than establishment/plant level and/or used data...