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Unity and Plurality of the European Cycle
Bentoglio, Guilhem; Fayolle, Jacky; Lemoine, Matthieu - Centre de recherche en Économie (OFCE), Sciences … - 2002
We apply uni- and multivariate unobserved components models to the study of European growth cycles. The multivariate dimension enables to search similar or, more strongly, common components among national GDP series (quarterly data from 1960 to 1999). Three successive ways to exhibit the...
Persistent link: https://www.econbiz.de/10005792629
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A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market
Krolzig, Hans-Martin; Marcellino, Massimiliano - Department of Economics, Oxford University - 2000
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...
Persistent link: https://www.econbiz.de/10011277856
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Regional and Outward Economic Integration in South-East Asia
Weber, Enzo - Volkswirtschaftliche Fakultät, … - 2007
in the GDPs. According tests for cointegration and common serial correlation features reveal a high degree of coherence …
Persistent link: https://www.econbiz.de/10005260242
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The Macroeconomic Implications of Household Debt: An Empirical Analysis
Kim, Yun - Department of Economics, Trinity College - 2011
Multi-equation econometric frameworks are used to investigate the impact of household debt on aggregate performance in US. In the vector autoregression analysis capturing the transitory feedback effects, we observe a bidirectional positive feedback process between aggregate income and debt....
Persistent link: https://www.econbiz.de/10009643796
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Crédito, Exceso de Toma de Riesgo, Costo del Crédito y Ciclo Económico en Chile
Garcia, Carlos; Sagner, Andrés - ILADES, Facultad de Economía y Negocios - 2011
This paper studies the interaction between the business cycle and the credit market. A first result is that the business cycle has procyclical effects on different types of credit (i.e., consumer, commercial and mortgage loans). The results area obtained through the identification of structural...
Persistent link: https://www.econbiz.de/10010553255
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Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area
Chevillon, Guillaume - ESSEC Business School - 2012
under a local alternative. We focus on the Likelihood Ratio test for the rank of cointegration and use nonlinearities that … models. An empirical evaluation of the concordance of European business cycles through cointegration shows that some standard …
Persistent link: https://www.econbiz.de/10010832983
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Business Cycle Measurement in the Presence of Structural Change: International Evidence
Krolzig, Hans-Martin - Department of Economics, Oxford University - 2000
By generalizing Hamiltons model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for...
Persistent link: https://www.econbiz.de/10010605151
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A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment
Krolzig, Hans-Martin; Toro, Juan - Department of Economics, Oxford University - 2001
This paper proposes a new framework for the impulse-response analysis of business cycle transitions. A cointegrated vector autoregressive Markov-switching model is found to be a congruent representation of post-war US employment and output data. In this model some parameters change according to...
Persistent link: https://www.econbiz.de/10010605300
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Shocks and rigidities as determinants of CEE labor markets' performance. A panel SVECM approach
Bukowski, Maciej; Koloch, Grzegorz; Lewandowski, Piotr - Volkswirtschaftliche Fakultät, … - 2008
In this paper the dynamic responses of labor markets to macroeconomic shocks in eight CEE countries are empirically analyzed in panel SVECM. Identification of shocks, interpreted as real wage, productivity, labor demand and supply shocks, is based on DSGE model with labor market explicitly...
Persistent link: https://www.econbiz.de/10005835482
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Relationship between inflation, unemployment and labor force change rate in France: cointegration test
Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana - Volkswirtschaftliche Fakultät, … - 2007
and 2004. The relationship is tested for cointegration. All three variables involved in the relationship are proved to be … integrated of order one. Two methods of cointegration testing are used. First is the Engle-Granger approach based on the unit … Johansen cointegration rank test based on a VAR representation, which is also proved to be an adequate one via a set of …
Persistent link: https://www.econbiz.de/10005835964