Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity and economic/financial integration. In Europe we...

This paper analyses the time series behavior of the components of the real exchange rates between the founding member states of the EMU before and after the start of the EMU. Various panel and univariate country-specific tests show that the levels of these components are typically random walks....

This paper considers approximating the nite sample null-distribution of a test statistic as its asymptotic distribution under a local alternative. We focus on the Likelihood Ratio test for the rank of cointegration and use nonlinearities that represent some nite sample distributional features....

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....

The paper deals with the identification of time-frequency regions describing cyclicality of bank loans before, during and after the 2008 crisis via wavelets. We bring new methods and findings about the short and medium cycles of loans provided to corporates and households in the Euro Area in...

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...