The paper presents stylized facts of Euroland's business cycle using aggregated data. The main results are: the determination of turning points in Euroland's business cycle is not very sensitive to the detrending method used, although the level of the recent output gap depends on it. Investment,...

This paper extends the Markov-switching vector autoregressive models to accommodate both the typical lack of synchronicity that characterizes the real-time daily flow of macroeconomic information and economic indicators sampled at different frequencies. The results of the empirical application...

In this paper, an Unobserved Components Model is used to decompose the balances of Ifo Business survey data into the cyclical, the seasonal and the irregular components, as well as the working day effect. The empirical results show that the total cycle consists of three subcycles with about 3, 5...

We reassess the relationship between money and output using quarterly data from the US economy. We use several tools based on wavelets, the wavelet power transform and the wavelet coherence with which we analyze this relationship in both time and frequency. We find evidence of a weaker...

We estimate the age distribution’s effect on business cycle fluctuations across a large number of countries. A 10 percentage point increase in the middle-aged share of the population decreases output volatility by 15 percent for the average country.

This paper uses the multivariate unobserved components model with phase shifts to analyse the interaction of interest rates, output, asset prices and credit in the US. We find close linkages amongst cyclical fluctuations in the variables.

This paper investigates the sources of output volatility by decomposing the international shocks into finance and trade shocks. Through structural Bayesian estimations of an open-economy DSGE model on 16 countries, on average, international shocks explain around 70% of output fluctuations.

This paper shows that news shocks amplify macroeconomic volatility in any purely forward-looking model, whereas results are ambiguous when including a backward-looking component. We also investigate numerically the volatility effects of news shocks within the Smets and Wouters (2003) model.

This paper extends the recent literature that exclusively looks at the static link between bilateral trade intensity and business cycle synchronisation. A cross section augmented VAR framework with an unobservered common factor structure is used in order to apply the concept of Granger causality...