This paper assesses the role of financial variables in real economic fluctuations, in view of analysing the link between financial cycles and business cycles at the global level. A Global VAR modelling approach, which has been proved suitable for modelling country or regional linkages, is used...

We jointly estimate the U.S. business and financial cycle through a unified empirical approach while simultaneously accounting for the role of financial factors. Our approach uses the Beveridge-Nelson decomposition within a medium-scale Bayesian Vector Autore-gression. First, we show, both in...

We jointly estimate the U.S. business and financial cycle through a unified empirical approach while simultaneously accounting for the role of financial factors. Our approach uses the Beveridge-Nelson decomposition within a medium-scale Bayesian Vector Autoregression. First, we show, both in...

This paper examines the role of tax evasion in explaining the business cycle in a DSGE model with a financial accelerator. For this purpose, we assume that financially constrained agents are tax evaders, taking advantage of an additional margin of flexibility in coping with adverse shocks. In...

We identify an inflationary technology news shock as the leading source of business cycle variations for the postwar U.S. economy. This shock acts like a demand shock: it induces strong positive comovement in real quantities - GDP, consumption, investment - and weak positive comovement between...

Purpose - The purpose of this study is to investigate the relationship between oil price changes and the output growth in Turkey. Design/methodology/approach - The data were taken from International Financial Statistics databases, consisting of monthly data for the period 1986:01-2014:09....

The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...

The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...

The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...

In this paper, I propose a simple methodology for inferring the correlation between permanent and transitory shocks in unidentified unobserved components (UC) models, where the correlation is not identified. However, I show that there is an upper bound of the correlation implied from the...