Return-based classification identifies a portfolio's style signature in the time series of its returns. Detection is based on a regression of portfolio returns on returns of factor mimicking indices. The method is easy to apply and does not require information about portfolio composition....

This paper examines price and inflation convergence between three European countries (Italy, Spain and the U.K.) and a European average and, alternatively, between them and Germany from the beginning of the 80's.

We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the course of the 1996–2010 time period through the use of a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP...

This article estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The...

This article investigates the effect of plant closure on the labour market attachment of immigrants and how these effects vary with business cycles. The research covers two periods: one of economic upturn and one of economic downturn, and uses a rich employer–employee dataset. Results show...

Using Canadian time use data, we exploit variation in local unemployment rates to investigate the cyclical nature of sleep time and show that for both men and women, sleep time decreases when the economy is doing relatively better. Our results suggest that in a recession Canadians sleep an...

The business cycles literature shows that the likelihood of an expansion or contraction ending increases with its age, i.e. they exhibit positive duration dependence. This evidence rests on the assumption that the magnitude of duration dependence is the same over time. However, we assume that...

We show that the single-index dynamic factor model developed by Aruoba and Diebold (Am Econ Rev, 100:20–24, <CitationRef CitationID="CR2">2010</CitationRef>) to construct an index of the US business cycle conditions is also very useful to forecast US GDP growth in real time. In addition, we adapt the model to include survey data and...</citationref>

This paper uses U.S. monthly industrial production employment data between 1964 and 2000 to examine the dynamic labor adjustments of production workers and nonproduction workers in both the short and long-run. The results from the short-run analysis show that the dynamic adjustment of production...

This paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its merits as an indicator of common business cycles among economic variables. It is shown that the presence of the serial correlation common feature in the first differences of a...