Narrow search
Showing 1 - 10 of 1,889
Cover Image
The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries
Hasanov, Mübariz; Omay, Tolga - Volkswirtschaftliche Fakultät, … - 2010
In this paper, we examine causal relationships among inflation rate, output growth rate, inflation uncertainty and … output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH … inflation and output to proxy nominal and real uncertainty, respectively, and perform Granger-causality tests. Our results …
Persistent link: https://www.econbiz.de/10008743006
Cover Image
Bayesian Analysis of DSGE Models with Regime Switching
Eo, Yunjong - Volkswirtschaftliche Fakultät, … - 2008
I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference...
Persistent link: https://www.econbiz.de/10005789972
Cover Image
Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
Anas, Jacques; Ferrara, Laurent - Volkswirtschaftliche Fakultät, … - 2002
This working paper presents a new coincident economic indicator developed by the COE, able to detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic time...
Persistent link: https://www.econbiz.de/10005616637
Cover Image
A multivariate innovations state space Beveridge Nelson decomposition
de Silva, Ashton - Volkswirtschaftliche Fakultät, … - 2007
The Beveridge Nelson vector innovation structural time series framework is new formu- lation that decomposes a set of variables into their permanent and temporary components. The framework models inter-series relationships and common features in a simple man- ner. In particular, it is shown that...
Persistent link: https://www.econbiz.de/10005616767
Cover Image
A real-time recession indicator for the Euro area
Ferrara, Laurent - Volkswirtschaftliche Fakultät, … - 2006
In this paper, we propose a new coincident monthly indicator to detect in real-time the start and the end of an economic recession phase for the Euro area. In this respect, we use the methodology proposed in Anas and Ferrara (2002, 2004) as regards the recession indicator for the US, based on...
Persistent link: https://www.econbiz.de/10005616914
Cover Image
A Dynamic Correlation Approach of the Swiss Tourism Income
Leon, Costas; Eeckels, Bruno - Volkswirtschaftliche Fakultät, … - 2009
We apply cross-spectral methods, dynamic correlation index of comovements and a VAR model to study the cyclical components of GDP and tourism income of Switzerland with annual data for the period 1980 – 2007. We find evidence of 4 dominant cycles for GDP and an average duration between 9 and...
Persistent link: https://www.econbiz.de/10005052198
Cover Image
Business Cycle Synchronisation in EU : A Time-Varying Approach
Degiannakis, Stavros Antonios - 2018
This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...
Persistent link: https://www.econbiz.de/10012910120
Cover Image
The Australian Business Cycle: A New View
Harding, Don - Volkswirtschaftliche Fakultät, … - 2002
In this paper I address the following questions. - Has the business cycle become longer and shallower? And why? - How stabilizing is monetary policy. In answering these questions I summarize recent research undertaken by Adrian Pagan and myself that formalizes the procedures developed by Burns...
Persistent link: https://www.econbiz.de/10005789238
Cover Image
An empirical analysis of the curvature factor of the term structure of interest rates
Modena, Matteo - Volkswirtschaftliche Fakultät, … - 2008
This work extends the strand of literature that examines the relation between the term structure of interest rates and macroeconomic variables. The yield curve is summarized by few latent factors (level, slope, and curvature) which are obtained through Kalman filtering. In this paper, we address...
Persistent link: https://www.econbiz.de/10005836194
Cover Image
Technology Shocks, Statistical Models, and The Great Moderation
Fuentes-Albero, Cristina - Volkswirtschaftliche Fakultät, … - 2007
In this paper we compare the cyclical features implied by an RBC model with two technology shocks under several statistical specifications for the stochastic processes governing technological change. We conclude that while a trend-stationary model accounts better for the observed volatilities, a...
Persistent link: https://www.econbiz.de/10005836991