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Berger, Tino; Pozzi, Lorenzo - 2023

Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...

Persistent link: https://www.econbiz.de/10014380708

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

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...

Persistent link: https://www.econbiz.de/10011520505

Measuring synchronisation and convergence of business cycles

Koopman, Siem Jan; Azevedo, João Valle e - 2003

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...

Persistent link: https://www.econbiz.de/10011333890

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

Persistent link: https://www.econbiz.de/10011456728

Convergence in European GDP series

Luginbuhl, Rob; Koopman, Siem Jan - 2003

Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this...

Persistent link: https://www.econbiz.de/10011333256

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

Persistent link: https://www.econbiz.de/10011373822

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

Persistent link: https://www.econbiz.de/10011327834

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

Persistent link: https://www.econbiz.de/10011809984

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

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...

Persistent link: https://www.econbiz.de/10011376640

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