Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...

A number of studies have documented a reduction in aggregate macroeconomic volatility beginning in the early 1980s. Using an empirical model of business cycles, we extend this line of research to state-level employment data, find significant heterogeneity in the timing and magnitude of the...

Recent work on trend-cycle decompositions for US real GDP yields the following puzzling features: method based on Unobserved Components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bears little resemblance to the NBER...

In this paper, we provide empirical evidence for some European countries, over the period 1963-2000, on whether business cycle affects convergence process or catching-up. To do so, we first evaluate beta-convergence. We find evidence in favour of this type of convergence for six countries...

This paper presents a new approach to trend/cycle decomposition. The trend of an integrated time series is measured as the conditional expectation of the steady-state level of the series, where steady state is determined by simulation from an appropriate forecasting model. By explicitly linking...

This paper presents a comparative evaluation of different filtering techniques employed to separate the trend of a given non-stationary time series from its cyclical components in identifying the business cycles. The performances of detrending techniques under consideration can be compared by...

Grandmont (1985) found that the parameter space of even the simplest, most classical models are stratified into bifurcation regions. Barnett and He (1999,2002) subsequently found transcritical, codimension-two, and Hopf bifurcation boundaries within the parameter space of the policy-relevant...