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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

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

Cyclical consumption

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

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

Heterogeneity in manufacturing growth risk

Opschoor, Daan; Dijk, Dick van; Franses, Philip Hans - 2021

We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable goods sector and the more resilient nondurable...

Persistent link: https://www.econbiz.de/10012510760

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

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

Measuring and predicting heterogeneous recessions

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10009720726

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

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

Persistent link: https://www.econbiz.de/10011441704

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