En este documento se propone utilizar la metodología de perfiles coincidentes propuesta por Martínez (2010), con el fin de determinar si un conjunto de indicadores obtenidos de encuestas de opinión y otras fuentes son coincidentes o líderes de los indicadores económicos observables y, que...

The two-dimensional circular structure model by Kauermann, Teuber, and Flaschel (2011) will be extended to estimate more than two time series simultaneously. It will be assumed that the multivariate time series follow a cycle over the time. However, the radius and the angle are allowed to...

This paper offers an insight into the optimality of the European Economic and Monetary Union (EMU) and its common monetary policies by evaluating the degree of business cycle synchronisation among the EMU member states with respect to the Eurozone aggregate. Business cycles for each country,...

Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...

Business cycles, the ups and downs observed somewhat simultaneously in numerous macroeconomic variables in an economy and often measured using real GDP, are important and, despite much economic research, still incompletely understood. A method for ex-post dating of the business cycle in the Euro...

We develop a multivariate filter which is an optimal (in the mean squared error sense) approximation to the ideal filter that isolates a specified range of fluctuations in a time series, e.g., business cycle fluctuations in macroeconomic time series. This requires knowledge of the true...

We optimally incorporate factors estimated from a large panel of macroeconomic time series in the estimation of two relevant signals related to real activity: business cycle fluctuations and the medium to long-run component of output growth. This latter signal conveys information on the growth...

This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the economic agents’ information set is superior to the econometrician’s one. Specifically, we first generalize the conditions under which the...

This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the economic agents' information set is superior to the econometrician's one. Specifically, we first generalize the conditions under which the...

En este documento se propone utilizar la metodología de perfiles coincidentes propuesta por Martínez (2010), con el fin de determinar si un conjunto de indicadores obtenidos de encuestas de opinión y otras fuentes son coincidentes o líderes de los indicadores económicos observables y, que...