To date, there has been little investigation of the impact of seasonal adjustment on the detection of business cycle expansion and recession regimes. We study this question both analytically and through Monte Carlo simulations. Analytically, we view the occurrence of a single business cycle...

This article proposes classical business cycle turning points for the G7 and a number of European countries based on industrial production. This enables the authors to examine the international nature of cyclical movements free from arbitrary assumptions about the trend. In particular, they show...

This paper provides a quantitative analysis of the impact on New Zealand of economic growth in China through the framework of an econometric model. The analysis compares the roles of China and the US both for growth in New Zealand and also for world commodity prices, the latter being important...

Time series analysis for the Euro Area requires the availability of sufficiently long historical data series, but the appropriate construction methodology has received little attention. The benchmark dataset, developed by the European Central Bank for use in its Area Wide Model (AWM), is based...

This paper uses logistic regression to construct a one-quarter ahead prediction model for classical business cycle regimes in the UK. The binary dependent variable is obtained by applying simple mechanical rules to date turning points in quarterly real GDP data from 1963 to 1999. Using a range...

This paper provides a quantitative analysis of the impact on New Zealand of economic growth in China through the framework of an econometric model. The analysis compares the roles of China and the US both for growth in New Zealand and also for world commodity prices, the latter being important...

Empirical modelling of the international linkages between the Euro Area and the US requires an open economy specification. This paper proposes and implements a structural VECM framework which imposes long run and short run cross-economy restrictions based on theoretically motivated restrictions...

This paper empirically analyses the interest rate transmission mechanism in the United Kingdom by exploring the pass-through of the official rate to the money market rate and of the market rate to the mortgage rate. Potential asymmetries, due to financial market conditions and monetary policy,...

This paper examines the information available through leading indicators for modelling and forecasting the UK quarterly index of production. Both linear and non-linear specifications are examined, with the latter being of the Markov-switching type as used in many recent business cycle...