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On the cyclical properties of Hamilton's regression filter

Schüler, Yves S. - 2018

. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) and proposes a regression …, Hamilton's ad hoc formulation of a 2-year regression filter implies a cancellation of two-year cycles and an amplification of … cycles longer than typical business cycles. This is at odds with stylised business cycle facts, such as the one-year duration …

Persistent link: https://www.econbiz.de/10011792295

Market sentiment, financial fragility, and economic activity : the role of corporate securities issuance

Dieckelmann, Daniel - 2021

Using new quarterly U.S. data for the past 120 years, I show that sudden reversals in equity and credit market sentiment approximated by several measures of corporate securities issuance are highly predictive of banking crises and recessions. Deviations in equity issuance from historical...

Persistent link: https://www.econbiz.de/10012431742

Robust real-time estimates of the German output gap based on a multivariate trend-cycle decomposition

Berger, Tino; Ochsner, Christian - 2022

The German economy is an important economic driver in the Euro-area in terms of gross domestic product, labour force …

Persistent link: https://www.econbiz.de/10013370512

The global financial cycle and macroeconomic tail risks

Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2022

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...

Persistent link: https://www.econbiz.de/10013459721

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

Persistent link: https://www.econbiz.de/10014227600

The EMU consolidation game - or: Does 3.0 really mean 3.0?

Heinemann, Friedrich - 1998

consistent debt limits in the time after the introduction of the Euro. …

Persistent link: https://www.econbiz.de/10013428121

EMU and fiscal discipline: the end of the depreciation threat

Heinemann, Friedrich - 1998

Are the characteristics of the exchange rate regime relevant for the degree of fiscal discipline? What are the conclusions for fiscal behavior in Europe after the transition to EMU? These are the central questions that are analyzed in this paper from a theoretical point of view. After a general...

Persistent link: https://www.econbiz.de/10013428171

Real and monetary challenges to wage policy in Germany at the turn of the Millennium : technical progress, globalization and European Monetary Union

Franz, Wolfgang - 1999

At the turn of the millennium three frequently cited potential causes of new challenges for wage policy in Germany are revisited in this study: skilled-biased technological progress, the increasing international integration of labor and product markets, and the monetary integration of the EMU....

Persistent link: https://www.econbiz.de/10013428272

Would households understand average inflation targeting?

Hoffmann, Mathias; Pavlova, Lora; Mönch, Emanuel; … - 2022

Yes, they would. In a randomized control trial, we provide groups of respondents from the Bundesbank Online Panel Households with information about a hypothetical alternative ECB monetary policy regime akin to the Federal Reserve’s flexible average inflation targeting (AIT). Inflation...

Persistent link: https://www.econbiz.de/10013205445

Carbon pricing, border adjustment and climate clubs : an assessment with EMuSe

Ernst, Anne; Hinterlang, Natascha; Mahle, Alexander; … - 2022

In a dynamic, three-region environmental multi-sector general equilibrium model (called EMuSe), we find that carbon pricing generates a recession initially as production costs rise. Benefits from lower emissions damage materialize only in the medium to long run. A border adjustment mechanism...

Persistent link: https://www.econbiz.de/10013259654