The farm-retail price spread is the difference between the retail price of a product and its farm value. It changes with changes in factor prices, the efficiency of providing services, and the quantity and quality of services embodied in the final product. A model was derived by Box-Cox...

Diese Dissertation setzt sich zusammen aus drei separaten Aufsätzen, welche sich aus empirischer Sicht mit verschiedenen Aspekten der Zusammenhänge zwischen Finanzmärkten und der Makroökonomie beschäftigen. Kapitel 1 ("Long Horizon Consumption Risk and the Cross-Section of Returns: New...

This article presents a multi-sectoral composite indicator for the Swiss GDP growth rate, targeting a lead of two quarters. The in-sample period ranges from 1991 to 2002 and 14 data points are reserved as out of sample to assess the forecasting performance. The results appear promising, in terms...

Durland and McCurdy [Durland, J.M., McCurdy, T.H., 1994. Duration-dependent transitions in a Markov model of US GNP growth. Journal of Business and Economic Statistics 12, 279?288] investigated the issue of duration dependence in US business cycle phases using a Markov regime-switching approach,...

After the collapse of the Bretton Woods system, developing countries, including Georgia, experienced several currency crises followed by severe recessions and deteriorated macroeconomic stability. This creates incentives for policymakers to predict currency crises in a timely manner, and avoid...

Time series resulting from aggregation of several sub-series can be seasonally adjusted directly or indirectly. With model-based seasonal adjustment, the sub-series may also be considered as a multivariate system of series and the analysis may be done jointly. This approach has considerable...

La crisis económica reciente ha alterado la dinámica de las series económicas y, como consecuencia, ha introducido incertidumbre en el ajuste estacional en estos últimos años. El problema se discutió en seminarios celebrados en Eurostat y en el Banco Central Europeo durante el año 2010,...

We examine the short-term performance of two alternative approaches to forecasting using dynamic factor models. The fi rst approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the nonseasonally adjusted data...