Economists increasingly pay attention to social capital as an important determinant of macroeconomic growth performance. At the same time, there is discussion regarding the robustness of the results of empirical growth studies. In a seminal paper, Knack and Keefer (1997) assess the effect of...

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...

Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance, and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, often appropriate after...

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...