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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
This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...
Persistent link: https://www.econbiz.de/10011257132
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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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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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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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Entrepreneurship and the Business Cycle
Koellinger, P.D.; Thurik, A.R. - Tinbergen Instituut
This discussion paper resulted in a publication in the 'Review of Economics and Statistics' (2012). Volume 94, issue 4, pages 1143-1156.<P> We study the cyclical pattern of entrepreneurial activity. Results across 22 OECD countries for the period 1972-2007 show that entrepreneurial activity is a...</p>
Persistent link: https://www.econbiz.de/10011255833
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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
randomly. We characterize the finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction …
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
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …
Persistent link: https://www.econbiz.de/10011272592