We study the cross-country dimension of financial cycles for six euro area countries using three different methodologies: principal component analysis, synchronicity and similarity measures and wavelet analysis. We find that equity prices and interest rates display synchronization across...

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...

We set up an agent-based model that generates realistic credit cycles. Using artificial data sets, we show that fluctuations in the implicit measures of the natural rate of interest (obtained using a conventional model) may occur in the vicinity of credit cycle peaks without any underlying...

Uncertainty shocks are also risk premium shocks. With countercyclical risk aversion (RA), a positive shock to uncertainty increases risk and elevates RA as consumption growth falls. The combination of high RA and high uncertainty produces significant risk premia in bad times, which in turn...

We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on...

We show that two models of the labor market, a Walrasian model and a labor contracting model, both have an approximate dynamic factor structure. We use this result to motivate our empirical approach to estimating the cyclical properties of real wages, which does not impose any structure between...

This paper is mainly concerned with the analysis of regional house price cycles. Based on a newly available data set consisting of the 40 largest U.S. Metropolitan Statistical Areas (MSAs), we introduce a wavelet transform based metric to study the housing cycle synchronization across MSAs. We...

We show that two models of the labor market, a Walrasian model and a labor contracting model, both have an approximate dynamic factor structure. We use this result to motivate our empirical approach to estimating the cyclical properties of real wages, which does not impose any structure between...

The inverse relationship between unemployment and Gross Domestic Product (GDP), commonly known as Okun?s law, has been traditionally analysed in the economic literature. Its application to Spain is interesting as the strong impact of business cycles on unemployment is a particular feature of the...