As both the natural level of output and the New Keynesian output gap cannot be observed in practice, there is quite some debate on the question how these variables look like in practice. Rather than taking the standard approach of using a time trend or the HP-filter to obtain estimates of these...

This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through...

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...

This paper develops a discrete-time epidemiological model for the spread of crises across sectors in the United States for the period 1952-2015. It is the first to use an epidemiological approach with macroeconomic (Flow of Funds) data. An extension of the usual one-period Markov model to a...

When the financial positions of pension funds worsen, regulations prescribe that pension funds reduce the gap between their assets (invested contributions) and their liabilities (accumulated pension promises). This paper quantifies the business cycle effects and distributional implications of...

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...