We report that the X-12 ARIMA and TRAMO–SEATS seasonal adjustment methods consistently underestimate the variability of the differenced seasonally adjusted series. We show that underestimation is due to a non-zero estimation error in estimating the seasonal component at each time period, which...

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI-...

The econometric literature has recently focused attention on the relationship between the Beveridge–Nelson decomposition and unobserved components processes when decomposing time series into permanent and transitory shocks. This paper shows the existence of an algebraic linkage between reduced...

The purpose of the paper is to revisit the inflation–output gap relationship using a new approach known as the wavelet transform. This approach combines the classical time series analysis with frequency domain analysis and presents the advantages of assessing the co-movement of the two series...

This paper analyzes the feasibility of a monetary union in East Asia focusing on business cycles synchronization. Considering the critical role of trade integration in the East Asian integration process, we study whether East Asian countries are characterized by business cycle synchronization....

Structural breaks in a trending variable have been specified as changes in the drift parameter in the trend component, but extraordinary shocks causing these breaks have not been explicitly formulated. In this paper, the Hodrick–Prescott filter is extended by assuming two kinds of variance for...

This paper reassesses the ‘stylised facts’ of Australia's contemporary business cycle, by calculating select moments of the cyclical components in quarterly postwar macroeconomic data. In particular, the robustness of the cross-correlation sample moments to the detrending procedure are...

The New Keynesian Phillips curve implies that the output gap, the deviation of the actual output from its natural level due to nominal rigidities, drives the dynamics of inflation relative to expected inflation and lagged inflation. This paper exploits the empirical success of the New Keynesian...

According to the growing “Google econometrics” literature, Google queries may help predict economic activity. The aim of our paper is to test whether these data can enhance predictions of youth unemployment in France.

This paper presents an alternative framework for modeling the behavior of banks in setting lending and/or saving rates. In a short-run dynamic model, we correct for deviations from the long-run path using three feedback coefficients capturing different disequilibria. This enables us to test for...