We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...

We develop multivariate measures of synchronicity and co-movement of business cycles. In addition to synchronicity, the co-movement measure takes differences between cycle amplitudes into account that have been overlooked in most previous studies. We apply the new measures to the euro area....

This paper assesses the statistical reliability of different measures of the output gap - the multivariate Hodrick-Prescott Filter, the multivariate unobserved components method and the structural vector autoregressive model - in the Euro area. Three criteria are used: the consistency of...