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Altug, Sumru G.; Emin, Mustafa; Neyapti, Bilin - C.E.P.R. Discussion Papers - 2012

determinants of business cycle synchronization for the countries in our sample, we also demonstrate that the bilateral proximity of …

Persistent link: https://www.econbiz.de/10011083779

Do Institutions and Culture Matter for Business Cycles?

Altug, Sumru G.; Canova, Fabio - C.E.P.R. Discussion Papers - 2013

duration of expansions is shorter; the amplitude and the output costs of recessions are larger; and cyclical synchronization is … synchronization. By contrast, differences in cultural indicators account for relative differences in the persistence, the volatility … and the synchronization of cyclical fluctuations. Theoretical and policy implications are discussed. …

Persistent link: https://www.econbiz.de/10011084013

Information, Forecasts and Measurement of the Business Cycle

Evans, George W.; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1993

The Beveridge-Nelson (BN) technique provides a forecast-based method of decomposing a variable such as output, into trend and cycle when the variable is integrated of order one (I (1)). This paper considers the multivariate generalization of the BN decomposition when the information set includes...

Persistent link: https://www.econbiz.de/10005123570

The HP-Filter in Cross-Country Comparisons

Marcet, Albert; Ravn, Morten O - C.E.P.R. Discussion Papers - 2004

Many empirical studies have applied the Hodrick-Prescott filter in cross-country comparisons of business cycle fluctuations. The Hodrick-Prescott filter involves the smoothing parameter l, and standard practice in the literature is to set this parameter equal to 1600 (in quarterly data) for all...

Persistent link: https://www.econbiz.de/10005124055

On Adjusting the HP-Filter for the Frequency of Observations

Ravn, Morten O; Uhlig, Harald - C.E.P.R. Discussion Papers - 2001

This Paper studies how the HP-Filter should be adjusted, when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the...

Persistent link: https://www.econbiz.de/10005067569

Business Cycle Synchronization Since 1880

Artis, Michael J; Chouliarakis, George; Harischandra, PKG - C.E.P.R. Discussion Papers - 2011

international business cycle synchronization within a group of European and a group of English-speaking economies that started …

Persistent link: https://www.econbiz.de/10009003371

Following the Trend: Tracking GDP when Long-Run Growth is Uncertain

Antolin-Diaz, Juan; Drechsel, Thomas; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

Using a dynamic factor model that allows for changes in both the long- run growth rate of output and the volatility of business cycles, we document a significant decline in long-run output growth in the United States. Our evidence supports the view that this slowdown started prior to the Great...

Persistent link: https://www.econbiz.de/10011145426

International Business Cycle Spillovers

Yilmaz, Kamil - C.E.P.R. Discussion Papers - 2010

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...

Persistent link: https://www.econbiz.de/10011083760

Business Cycles around the Globe: A Regime-switching Approach

Altug, Sumru G.; Bildirici, Melike - C.E.P.R. Discussion Papers - 2010

This paper characterizes business cycle phenomena in a sample of 27 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each...

Persistent link: https://www.econbiz.de/10008466348

What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions

Peersman, Gert - C.E.P.R. Discussion Papers - 2003

This Paper uses a simple VAR for the industrialized world (aggregate of 17 countries), the US and the euro area to analyse the underlying shocks of the recent slowdown, i.e. supply, demand, monetary policy and oil price shocks. The results of two identification strategies are compared. One is...

Persistent link: https://www.econbiz.de/10005788917

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