This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...

Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this...

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

This paper investigates the role of fiscal policies over the aggregate EMU business cycle. Previous studies, based on the assumption of non-separability between public and private consumption, obtain a large public consumption multiplier, a small fraction of non-Ricardian households and,...

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...

We examine time-varying behavior and determinants of asset swap (ASW) spreads for 23 iBoxx European corporate bond indexes stratified by industry, credit rating and seniority. The results of a Markov switching model suggest that ASW spreads exhibit regime dependent behavior. The evidence is...

This work studies regional fluctuations in the EU12 focusing on regional Gross Domestic Product (GDP) and Employment dynamics over the period 1977-95. The econometric framework is a combination of the Structural Dynamic Factor Model by Forni and Reichlin (1998) and the Dynamic Factor Model by...