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.

What is the output gap? I discuss three alternative definitions: the deviation of output from its long-run stochastic trend (i.e., the “Beveridge–Nelson cycle”); the deviation of output from the level consistent with current technologies and normal utilization of capital and labor input...

We propose the analysis of the dynamics of the standard deviation of business cycles across euro area countries in order to evaluate the patterns of cyclical convergence in the European Monetary Union for the period 1960–2008. We identify significant business cycle divergence taking place in...

An important issue facing policymakers is the degree to which fluctuations in economic activity affect employment in large and small businesses across sectors and regions. This issue is particularly relevant for developing countries as it matters for the understanding of the labour market...

Many macroeconometric models are built to understand business cycles. However, the methods applied to assess them are rarely of the form that one learns whether they provide a good explanation of cycle characteristics. In this paper we review and apply techniques that do this for models with...

Previous attempts to evaluate the Mortensen–Pissarides model rely on either endogenous separation or wage rigidity. In this paper I simulate a version of the Mortensen–Pissarides (MP) model with wage rigidity and endogenous separation. The model is then able to answer a key question in the...

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...

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.