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Markov-Switching Procedures for Dating the Euro-Zone Business Cycle
Krolzig, Hans-Martin - In: Vierteljahrshefte zur Wirtschaftsforschung 70 (2001) 3, pp. 339-351
This paper addresses the issues of identification and dating of the Euro-zone business cycle by using the Markov … growth in the Euro-zone are identified by fitting Markov-switching models to aggregated and single-country Euro-zone real GDP … the smoothed regime probabilities from the Markov-switching models the Euro-zone business cycle is dated and recessions …
Persistent link: https://www.econbiz.de/10010377542
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Eigenvalue filtering in VAR models with application to the Czech business cycle
Beneš, Jaromír; Vávra, David - 2005
We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents (such as business-cycle or irregular) defined by properties of the underlying eigenvalues. We logically extend the Beveridge-Nelson decomposition of the VAR time-series models focusing on the...
Persistent link: https://www.econbiz.de/10011604595
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Exploring the international linkages of the euro area: a global VAR analysis
Dées, Stéphane; di Mauro, Filippo; Pesaran, Hashem; … - 2005
This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...
Persistent link: https://www.econbiz.de/10011604614
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Forecasting with DSGE models
Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010
on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance …
Persistent link: https://www.econbiz.de/10011605231
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Towards a monthly business cycle chronology for the euro area
Mönch, Emanuel; Uhlig, Harald - 2005
This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine. we construct several monthly series of Euro area GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration...
Persistent link: https://www.econbiz.de/10010319190
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Output and inflation responses to credit shocks: are there threshold effects in the euro area?
Calza, Alessandro; Sousa, João - 2005
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....
Persistent link: https://www.econbiz.de/10011604527
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Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy
Höppner, Florian; Gottschalk, Jan - 2001
This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated...
Persistent link: https://www.econbiz.de/10010260606
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The euro area Bank Lending Survey matters: empirical evidence for credit and output growth
de Bondt, Gabe; Maddaloni, Angela; Peydró, José-Luis; … - 2010
This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and output growth. The responses of the lending survey, especially those related to loans to enterprises, are a significant leading indicator for euro area bank credit and real GDP...
Persistent link: https://www.econbiz.de/10011605206
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Business cycle synchronization and insurance mechanisms in the EU
Afonso, António; Furceri, Davide - 2007
In this paper we provide a positive exercise on past business-cycle correlations and risk sharing in the European Union, and on the ability of insurance mechanisms and fiscal policies to smooth income fluctuations. The results suggest in particular that while some of the new Member States have...
Persistent link: https://www.econbiz.de/10011604890
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National and international business cycle effects of housing crises
Jannsen, Nils - 2009
Housing crises usually go hand in hand with a long lasting recession and a considerable loss in output. We first re-examine the effects of a housing crises on the business cycle based on historical crises. Then we estimate the international spill-over-effects if several huge industrial countries...
Persistent link: https://www.econbiz.de/10010265229