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Measuring and Predicting Heterogeneous Recessions
Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10010500207
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Transmission of Business Cycle Shocks between Unequal Neighbours: Germany and Austria
Fenz, Gerhard; Schneider, Martin - 2007
This paper analyses the comovement of the German and Austrian economies and the transmission of German shocks to Austria. Static and dynamic correlation measures show a strong comovement and a change of the relative position in time of these two economies. The transmission of German shocks to...
Persistent link: https://www.econbiz.de/10013370054
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Business cycles around the globe: a regime switching approach
Altuğ, Sumru; Bildirici, Melike - 2010
This paper characterizes business cycle phenomena in a sample of 22 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each...
Persistent link: https://www.econbiz.de/10010273675
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Regionalization vs. Globalization
Hirata, Hideaki; Kose, M. Ayhan; Otrok, Christopher - 2013
Both global and regional economic linkages have strengthened substantially over the past quarter century. We employ a dynamic factor model to analyze the implications of these linkages for the evolution of global and regional business cycles. Our model allows us to assess the roles played by the...
Persistent link: https://www.econbiz.de/10010500234
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Mixed Frequency Structural Models: Estimation, and Policy Analysis
Foroni, Claudia; Marcellino, Massimiliano - 2013
scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems …, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed … frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …
Persistent link: https://www.econbiz.de/10012143827
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Mixed Frequency Structural VARs
Foroni, Claudia; Marcellino, Massimiliano - 2014
estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions …. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation …
Persistent link: https://www.econbiz.de/10012143839
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Which nonlinearity in the Phillips curve? The absence of accelerating deflation in Japan
De Veirman, Emmanuel - 2007
It is standard to model the output-inflation trade-off as a linear relationship with a time-invariant slope. We assess empirical evidence for three types of nonlinearity in the short-run Phillips curve. At an empirical level, we aim to discover why large negative output gaps in Japan during the...
Persistent link: https://www.econbiz.de/10010293439
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A Global Macro Model for Emerging Europe
Feldkircher, Martin - 2013
This paper puts forward a global macro model comprising 43 countries and covering the period from Q1 1995 to Q4 2011. Our regional focus is on countries in Central, Eastern and Southeastern Europe (CESEE) and the Commonwealth of Independent States (CIS). Applying a global VAR (GVAR) model, we...
Persistent link: https://www.econbiz.de/10013370102
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Financial predictors of real activity and the propagation of aggregate shocks
Burgstaller, Johann - 2006
Bond yield and retail interest rate spreads are presumed to lead real activity on the basis of financial accelerator mechanisms, markup cyclicality or simply because they are forward-looking. Empirical results for Austria show that retail rate spreads outperform many other indicators in this...
Persistent link: https://www.econbiz.de/10010294615
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The changing transmission of uncertainty shocks in the US: An empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …
Persistent link: https://www.econbiz.de/10011380989