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The Information Content of Capacity Utilisation Rates for Output Gap Estimates

Graff, Michael; Sturm, Jan-Egbert - 2021

From a theoretical perspective, the output gap is probably the most comprehensive and convincing concept to describe the cyclical position of an economy. Unfortunately, for practical purposes, the concept depends on the determination of potential output, which is an inherently unobservable...

Persistent link: https://www.econbiz.de/10013316121

The Globalisation of Inflation : The Growing Importance of Global Value Chains

Auer, Raphael - 2017

Greater international economic interconnectedness over recent decades has been changing inflation dynamics. This paper presents evidence that the expansion of global value chains (GVCs), ie cross-border trade in intermediate goods and services, is an important channel through which global...

Persistent link: https://www.econbiz.de/10012958886

Persistence and Cycles in the US Federal Funds Rate

Caporale, Guglielmo Maria - 2013

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Persistent link: https://www.econbiz.de/10013089178

Hong Kong Output Dynamics : An Empirical Analysis

Cheung, Yin-Wong - 2021

Advanced statistical techniques are used to analyze Hong Kong output dynamics. Hong Kong, Japan and the U.S. are found to share some common long-term and short-term cyclical variations. While the Hong Kong economy is susceptible to external shocks and Granger-caused by the other two economies,...

Persistent link: https://www.econbiz.de/10013321022

The G7 Business Cycle in a Globalized World

Carstensen, Kai - 2016

, and inflation volatility, and in global macroeconomic indicators like the oil price, world stock market returns, and … exchange rate volatility. The results indicate that in a globalized world spillovers from emerging markets and industrial … countries other than the G7 play a relevant role for major aspects of the G7 and world business cycle …

Persistent link: https://www.econbiz.de/10012986109

Exploring the International Linkages of the Euro Area : A Global VAR Analysis

Dees, Stephane - 2006

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Persistent link: https://www.econbiz.de/10012783809

How Strong is the Case for Dollarization in Costa Rica? A Note on the Business Cycle Comovements with the United States

Lindenberg, Nannette - 2013

We evaluate the proposal for official dollarization in Costa Rica by applying a new approach to measure the business cycle comovements with the United States. While the literature often focuses on the correlation of shocks, we point out that the response of each country to the shocks is also an...

Persistent link: https://www.econbiz.de/10013095614

The Output Costs of Hard and Soft Sovereign Default

Trebesch, Christoph - 2016

How costly are sovereign debt crises? In this paper we study output losses during sovereign default and debt renegotiation episodes since 1980. In contrast to previous work, we account for the severity of default and not only for its occurrence. Specifically, we distinguish between “hard”...

Persistent link: https://www.econbiz.de/10012978462

Cyclical Fiscal Policy, Output Volatility, and Economic Growth

Badinger, Harald - 2021

This paper provides a comprehensive empirical assessment of the relation between the cyclicality of fiscal policy, output volatility, and economic growth, using a large cross-section of 88 countries over the period 1960 to 2004. Identification of the effects of (endogenous) cyclical fiscal...

Persistent link: https://www.econbiz.de/10013316549

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...

Persistent link: https://www.econbiz.de/10012955198

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