We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observations, and is designed to facilitate the updating of global activity estimates as...

This paper analyzes the feasibility of a monetary union in East Asia focusing on business cycles synchronization. Considering the critical role of trade integration in the East Asian integration process, we study whether East Asian countries are characterized by business cycle synchronization....

We characterise empirically the financial cycle using two approaches: analysis of turning points and frequency-based filters. We identify the financial cycle with the medium-term component in the joint fluctuations of credit and property prices; equity prices do not fit this picture well. We...

It is high time we rediscovered the role of the financial cycle in macroeconomics. In the environment that has prevailed for at least three decades now, it is not possible to understand business fluctuations and the corresponding analytical and policy challenges without understanding the...

It is high time we rediscovered the role of the financial cycle in macroeconomics. In the environment that has prevailed for at least three decades now, it is not possible to understand business fluctuations and the corresponding analytical and policy challenges without understanding the...

A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This paper proposes an empirical approach suitable to test these hypothe- ses. We...

Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure and prove a sharp oracle inequality for its risk. We also provide...

Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequency framework, useful to test for significant cycles in insurance data. The US underwriting cycle is measured using the growth rates of real premiums. Design/methodology/approach – In addition to...

This paper makes three contributions: First, I construct annual time series of gross domestic investment and national saving in the U.S. for the 1897–1949 period using historical component series. I compare the qualitative and quantitative properties of the newly constructed series with the...

Over time, there has been a dramatic change in our understanding of the relationship between the price level and output over the business cycle. For several decades, the conventional wisdom maintained that the price level are procyclical. Arguably, the biggest development in our understanding...