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Weissert, Christoffer Jessen - 2024

I present empirical results on the contribution of three key drivers of inflation in Denmark: an inflation trend anchored by inflation expectations; the Danish business cycle; and an energy price cycle. All three drivers contribute significantly to the development of inflation and explain most of...

Persistent link: https://www.econbiz.de/10014563915

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

Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis

Marczak, Martyna; Gómez, Víctor - 2012

This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and … cyclical patterns over time. From the findings of our study, we can infer that the USA and Germany differ with respect to the … lead-lag relationship of real wages and the business cycle. In the USA, both real wages are leading the business cycle in …

Persistent link: https://www.econbiz.de/10010309235

The increased importance of asset price misalignments for business cycle dynamics

Bask, Mikael; Madeira, João - 2011

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders...

Persistent link: https://www.econbiz.de/10010321374

Recent changes in the US business cycle

Chauvet, Marcelle; Potter, Simon - 2001

The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used...

Persistent link: https://www.econbiz.de/10010283318

Multivariate classification of business phases

Weihs, Claus; Röhl, Michael C.; Theis, Winfried - 1999

We propose multivariate classification as a statistical tool to describe business cycles. These cycles are often analyzed as a univariate phenomenon in terms of GNP or industrial net production ignoring additional information in other economic variables. Multivariate classification overcomes...

Persistent link: https://www.econbiz.de/10010316572

Classification and Clustering in Business Cycle Analysis

Heilemann, Ullrich (contributor); Weihs, Claus (contributor) - 2007

combination of data and of theory caused the RWI Essen and the Statistical Department of the University of Dortmund in January …

Persistent link: https://www.econbiz.de/10011598605

A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

Persistent link: https://www.econbiz.de/10010264093

Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2007

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10010264124

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10010276226

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