By generalizing Hamiltons model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for...

This paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the `classical` approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle;...

his paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the classical' approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle; we...

Since the seminal contribution of Gregory Mankiw, David Romer and David Weil (1992), the growth empirics literature has used increasingly sophisticated methods to select relevant growth determinants in estimating cross-section regressions.  The vast majority of empirical approaches however...

Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...

Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...

It is a widely encountered misconception that the vector of spreads between longer-term interest rates and the short rate is stationary under the Expectations Theory (ET). By considering a complete term structure of maturities it is shown that the ET determines the conditional mean of the VAR...

Little is known about the possible impact of an influenza pandemic on a nation's economy.  We applied the UK macroeconomic model 'COMPACT' to epidemiological data on previous UK influenza pandemics, and extrapolated a sensitivity analysis to cover more extreme disease scenarios.  Analysis...

Microfounded macromodels (SDGE models) represent the dominant approach in academic macroeconomics, and their influence now extends to the forecasting models of central banks.  These models appear to adopt a clear methodological approach, which promotes internal consistency above external...

This paper investigates the success of the well-known reverse-shooting and forward-shooting algorithms in finding stable solutions for linear macroeconomic models that both possess the particular property known as saddle-path instabiity and also have highly cyclic dynamic properties. It is...