In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the...

This paper aims at constructing potential output and output gap measures for the United Kingdom which are pinned down by macroeconomic relationships as well as financial indicators. The exercise is based on a parsimonious unobserved components model which is estimated via Bayesian methods where...

The cyclical behaviour of prices in the U.K. is investigated using a sample of annual observations covering the period 1886 1993. A structural time series model relating consumer prices to output is estimated over four sub-periods. The results indicate that prices were procyclical in the...

This paper uses a time-varying parameter Markov switching model to measure linkages between business confidence, consumer confidence, and the state of the economy in the US and the UK. Falling business confidence significantly increases the probability that growth will subsequently fall. Rising...

In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at...

In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...

This paper uses a vector autoregression (VAR) approach to identify the causes of the 1990-92 recession in the UK. The VAR approach is shown to be particularly pertinent for quantifying the relative magnitude of the different demand shocks, and in decomposing them into monetary and expectational...

This paper proposes a generalized multivariate framework to measure the significance of common permanent and transitory components in international business cycle fluctuations. I employ a multivariate unobserved components model with Markov regime switching to investigate the nonlinear dynamics...