This paper studies the dynamics of the propagation of regional business cycle shocks in Europe and uncovers new features of its underlying mechanisms. To address the lack of high frequency data at the regional level, we propose a new method to measure time-varying synchronization in small...

We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence the dynamics of the coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also...

In this paper, we develop a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We show that there is...

In this article, we measure changes over time in the synchronization of housing price cycles across Spanish cities. In doing so, we rely on a regime-switching framework that identifies the housing price cycles of pairs of cities, and simultaneously infers the evolving relation between those...