After a period of deepening financial integration, the financial crisis triggered a fragmentation of Europe’s capital markets along national lines. Financial integration was prone to sudden stops and capital reversals because cross-border capital flows predominantly consisted of short-term...

The current account imbalances that are at the heart of the European sovereign debt crisis are often attributed to differences in price competitiveness. However, recent research suggests that domestic demand booms related to the financial cycle may have been more important. As this would have...

From the onset of the euro crisis to the Brexit vote, we have witnessed impressive reductions of current account imbalances in peripheral countries of the euro area. These reductions can be the result of either a compression of internal demand or an improvement in external competitiveness. In...

In this paper, we introduce a new time-domain decomposition for weakly stationary or trend stationary processes, based on trigonometric polynomial modeling of the underlying component of an economic time series. The method is explicitly devised to disentangle medium to long-term and short-term...

We address G7 banking contagion during the COVID-19 crisis using wavelet-based techniques. We find an increase (20%) of the lowest frequencies banking contagion during the pandemic period based on stronger coherence between all pairs of financial indices. We also find that COVID-19 world cases...

This paper introduces a new decomposition of euro area headline inflation into core, cyclical and residual components. Our new core inflation measure, the structural core inflation rate, bears the interpretation of expected headline inflation, conditional to medium to long-term demand and...

In this paper we investigate how income growth rates in one country are affected by growth rates in partner countries, testing for the importance of pairwise country links as well as characteristics of the receiving country (trade and financial open- ness, exchange rate regime, fiscal...

In this research project, we attempt to examine the behavior of business cycles in Asia in order to deepen our understanding of and expand research on this topic. Given the importance of the People’s Republic of China, Japan, and the United States in the region economy, we use these three...

We analyse whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of...

We analyze whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of...