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Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; van Dijk, Dick - 2011

This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...

Persistent link: https://www.econbiz.de/10010326552

Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area

e Azevedo, Joao Valle; Koopman, Siem Jan; Rua, Antonio - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10010324815

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10010325871

Heterogeneity in Manufacturing Growth Risk

Opschoor, Daan; van Dijk, Dick; Franses, Philip Hans - 2021

We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable goods sector and the more resilient nondurable...

Persistent link: https://www.econbiz.de/10012606002

Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements

Scholtus, Martin L. - 2014

and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around …

Persistent link: https://www.econbiz.de/10013065074

Entrepreneurship and the Business Cycle

Koellinger, P.D.; Thurik, A.R. - 2009

We study the cyclical pattern of entrepreneurial activity. Results across 22 OECD countries for the period 1972-2007 show that entrepreneurial activity is a leading indicator of the business cycle in a Granger-causality sense. This contradicts existing theoretical hypotheses which predict that...

Persistent link: https://www.econbiz.de/10010325663

The Crisis Sensitivity of European Countries and Regions : Stylized Facts and Spatial Heterogeneity

Groot, Stefan P. T. - 2011

This paper investigates the impact of the recent global recession on European countries and regions. We first present several stylized facts as to the heterogeneous impact of the global recession on individual European countries and regions. We then offer an investigation of three main classes...

Persistent link: https://www.econbiz.de/10013126036

Entrepreneurship and the Business Cycle

Koellinger, Philipp; Thurik, Roy - 2009

Persistent link: https://www.econbiz.de/10014207942

The Regional Impact of Monetary Policy in Indonesia

Ridhwan, Masagus M.; de Groot, Henri L.F.; Rietveld, Piet; … - 2011

This paper employs Vector Autoregression (VAR) models to measure the impact of monetary policy shocks on regional output in Indonesia. Having incorporated a possible structural break following the aftermath of the 1997-98 Asian Crisis, the impulse response functions derived from the estimated...

Persistent link: https://www.econbiz.de/10010325784

The Regional Impact of Monetary Policy in Indonesia

Ridhwan, Masagus M. - 2011

Persistent link: https://www.econbiz.de/10013125066

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