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Measuring Synchronisation and Convergence of Business Cycles
Koopman, Siem Jan; Azevedo, Joao Valle e - Tinbergen Instituut - 2003
This discussion paper resulted in an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2008). Vol. 70 issue 1, pages 23-51.<P> This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series...</p></i>
Persistent link: https://www.econbiz.de/10011255482
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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Instituut - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011255922
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Instituut - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markov switching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10011256392
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Convergence in European GDP Series
Luginbuhl, Rob; Koopman, Siem Jan - Tinbergen Instituut - 2003
This discussion paper led to a publication in the <I>Journal of Applied Econometrics</A>. Vol. 19, issue 5, pages 611-636.<P> Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with...</p></i>
Persistent link: https://www.econbiz.de/10011256929
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Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
Azevedo, Joao Valle e; Koopman, Siem Jan; Rua, Antonio - Tinbergen Instituut - 2003
based on nine key economic timeseries including gross domestic product, industrial production,unemployment, confidence …
Persistent link: https://www.econbiz.de/10011257132
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Optimal Government Spending and Unemployment
Linnemann, Ludger; Schabert, Andreas - Tinbergen Instituut - 2008
We study optimal government spending in a business cycle model with frictional unemployment. The Ramsey optimal policy …
Persistent link: https://www.econbiz.de/10011256990
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Business Cycles and Compositional Variation in U.S. Unemployment
Abbring, Jaap H.; Berg, Gerard J. van den; Ours, Jan C. van - Tinbergen Instituut - 1997
In the past decades several features of U.S. unemployment dynamics have been investigated empirically. The original … focus of research was on the duration of unemployment. In later studies the cyclicality of incidence and duration …, compositional effects and duration dependence of the exit rate out of unemployment have been investigated. Unlike the partial …
Persistent link: https://www.econbiz.de/10011257090
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Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy
Callot, Laurent; Kristensen, Johannes Tang - Tinbergen Instituut - 2014
This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero. We...
Persistent link: https://www.econbiz.de/10011271948
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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Tinbergen Instituut - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011272583
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Cyclicality in Losses on Bank Loans
Keijsers, Bart; Diris, Bart; Kole, Erik - Tinbergen Instituut - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10011272584