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Is there really a global business cycle? : a dynamic factor model with stochastic factor selection
Berger, Tino; Pozzi, Lorenzo - 2016
We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined...
Persistent link: https://www.econbiz.de/10011556201
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Financial linkages and sectoral business cycle synchronization : evidence from Europe
Böhm, Hannes; Schaumburg, Julia; Tonzer, Lena - 2020
We analyze whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of...
Persistent link: https://www.econbiz.de/10012161035
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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
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Imperfect information, lagged labor adjustment and the great moderation
Willems, Tim; Wijnbergen, Sweder van - 2009
Persistent link: https://www.econbiz.de/10003861031
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Optimal government spending and unemployment
Linnemann, Ludger; Schabert, Andreas - 2008
Persistent link: https://www.econbiz.de/10003690042
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The crisis sensitivity of European countries and regions : stylized facts and spatial heterogeneity
Groot, Stefan P. T.; Möhlmann, Jan L.; Garretsen, Harry; … - 2011
Persistent link: https://www.econbiz.de/10009008694
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The crisis sensitivity of European countries and regions : stylized facts and spatial heterogeneity
Groot, Stefan P. T.; Möhlmann, Jan L.; Garretsen, Harry; … - 2011
This paper investigates the impact of the recent global recession on European countries and regions. We first present several stylized facts as to the heterogeneous impact of the global recession on individual European countries and regions. We then offer an investigation of three main classes...
Persistent link: https://www.econbiz.de/10011386447
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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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
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
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Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724114