We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

This paper proposes a novel approach, based on probit framework, towards measuring business cycle synchronization for 9 eurozone economies. We find strong cross-country synchronization in both business cycles and financial cycles. Moreover, financial synchronization dominates business cycle...