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A closed form multivariate linear filter

Boadway, Robin W.; Vitek, Francis - 2018

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...

Persistent link: https://www.econbiz.de/10011978601

Stability of Velocity in the Group of Seven Countries : A Kalman Filter Approach

Bomhoff, Eduard J. - 1990

This paper estimates forecasting models using annual data for the income velocity of money in the G-7 countries. The predictions are conditional upon the realized value of the long-term domestic government bond rate. Such conditional forecasts did not deteriorate over the period 1980-1988 as...

Persistent link: https://www.econbiz.de/10014395802

Quantitative Properties of Sovereign Default Models : Solution Methods Matter

Martinez, Leonardo - 2010

for parameterizations that feature a high sensitivity of the bond price to the borrowing level for the borrowing levels … of the model, instead of iterating separately on the value and bond price functions and (ii) concentrating grid points in … asset levels at which the bond price is more sensitive to the borrowing level and in levels that are observed more often in …

Persistent link: https://www.econbiz.de/10014402876

The cyclicality of sales, regular and effective prices : business cycle and policy implications

Coibion, Olivier; Gorodnichenko, Yuriy; Hong, Gee Hee - 2012

Persistent link: https://www.econbiz.de/10009621650

Copper and the Chilean Economy, 1960-1998

Spilimbergo, Antonio - 1999

copper price boom, the higher copper price and associated capital inflows create upward pressure on the real exchange rate …

Persistent link: https://www.econbiz.de/10014401129

The Cyclicality of Sales, Regular and Effective Prices : Business Cycle and Policy Implications

Coibion, Olivier - 2012

We study the cyclical properties of sales, regular price changes and average prices paid by consumers (""effective …

Persistent link: https://www.econbiz.de/10014395698

Is the cycle the trend? : evidence from the views of international forecasters

Bluedorn, John Christopher; Leigh, Daniel - 2018

We revisit the conventional view that output fluctuates around a stable trend by analyzing professional long-term forecasts for 38 advanced and emerging market economies. If transitory deviations around a trend dominate output fluctuations, then forecasters should not change their long-term...

Persistent link: https://www.econbiz.de/10011878713

Output gap uncertainty and real-time monetary policy

Grigoli, Francesco; Herman, Alexander; Swiston, Andrew; … - 2015

Output gap estimates are subject to a wide range of uncertainty owing to data revisions and the difficulty in distinguishing between cycle and trend in real time. This is important given the central role in monetary policy of assessments of economic activity relative to capacity. We show that...

Persistent link: https://www.econbiz.de/10014275788

On Cyclicality in the Current and Financial Accounts : Evidence From Nine Industrial Countries

Clausen, Jens R. - 2005

domestic output growth, price inflation, real exchange rate fluctuations, energy price inflation, global growth, and regional …

Persistent link: https://www.econbiz.de/10014400627

Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model

Kontolemis G., Zenon - 1999

This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov...

Persistent link: https://www.econbiz.de/10014401046

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