Showing 1 - 7 of 7
The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...
Persistent link: https://www.econbiz.de/10005155211
Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...
Persistent link: https://www.econbiz.de/10005155249
This paper studies the relationship between Spanish real aggregate fluctuations and those of its Europe neighbors in the last decades. It studies the ability of alternative International Real Business Cycle models (based on Backus, Kehoe and Kydland (1994) with different degrees of international...
Persistent link: https://www.econbiz.de/10005155262
Business cycle properties under different monetary policy rules are examined in a variety of dynamic stochastic general equilibrium models (the real business cycle models, the nominal wage contract models with different length of contracts, and the monopolistic competition models with different...
Persistent link: https://www.econbiz.de/10005155288
Persistent link: https://www.econbiz.de/10005590691
In this monograph, first, we analyze in detail some of the major limitations of the standard procedure to estimate business cycles with the Hodrick-Prescott (HP) filter. By incorporating time series analysis techniques, it is seen how some intuitive and relatively simple modifications to the...
Persistent link: https://www.econbiz.de/10005590714
The liquidity effect, defined as a decrease in nominal interest rates in response to a monetary expansion, is a major stylized fact of the business cycle. This paper seeks to understand under what conditions such an effect can be explained in a general equilibrium model with sticky prices and...
Persistent link: https://www.econbiz.de/10005590719