The Great Recession endured by the main industrialized countries during the period 2008-2009, in the wake of the financial and banking crisis, has pointed out the major role of the financial sector on macroeconomic fluctuations. In this paper, we reconsider macrofinancial linkages by assessing...

The global economic recession, referred to as the Great Recession, endured by the main industrialized countries during the period 2008--09, in the wake of the financial and banking crises, has pointed out the current importance of the financial sector in macroeconomics. In this article, we...

The Great Recession endured by the main industrialized countries during the period 2008–2009, in the wake of the financial and banking crisis, has pointed out the major role of the financial sector on macroeconomic fluctuations. In this respect, many researchers have started to reconsider the...

Following the Great Recession, econometric models that better account for un certainty have gained increased attention, and an increasing number of works evaluate the effects of uncertainty shocks. In this paper, we evaluate the impact of high-frequency uncertainty shocks on a set of...

After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great Moderation period in the literature, the 2008-2009 worldwide recession adversely impacted output levels in most of advanced countries. This Great Recession period was characterized...

This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun’s law based on a smooth transition error-correction model that simultaneously accounts for long-term...

[eng] We describe a new coincident probabilistic cyclical indicator developed by the Banque de France in order to detect, on a monthly basis, the turning points in the French economy’s acceleration cycle. The indicator is based on the methodology of Markov-switching models and uses the...

In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid...

This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun's law based on a smooth transition error-correction model that simultaneously accounts for long-term...