Maravall and del Riacute;o (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained...

Hamilton (2018) argues that one should never use the Hodrick-Prescott (HP) filter to detrend economic time series and proposes an alternative approach. This comment reconsiders Hamilton's case against the HP filter, emphasizing two simple points. First, in the empirical example Hamilton...

The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and...

This paper was written in full recognition of the fact that there has been little or no systematic research on the relation of monopoly and competition to invention/innovation and knowledge management under conditions of periodical monopolistic/imperfect competition and offers a novel approach...

Lending standards are a direct measure of credit conditions. We use the micro data merged from three separate sources to construct this measure and document that an uncertain macroeconomic outlook, rather than banks' balance sheet positions, was an important reason that a majority of banks...

In this paper, we examine the relationship between the price level and output and the inflation rate and output at business-cycle frequencies. In the first part of the paper, we develop a methodological approach to characterizing joint business cycle correlations. In particular, we are...

Lending standards are a direct measure of credit conditions. We use the micro data merged from three separate sources to construct this measure and document that an uncertain macroeconomic outlook, rather than banks' balance sheet positions, was an important reason that a majority of banks...

This paper examines the data of Survey of Professional Forecasters to analyze the dynamics among forecast dispersion and uncertainty in different horizons. We attempt to decipher macroeconomic uncertainty in a 3-dimensional framework as time, degree, good and bad. We find that ex ante short term...

Conviction narrative theory (CNT), a social psychological approach to the way economic agents take deisions under Knightian uncertainty, together with the new methodology of directed algorithmic text analysis (DATA), provide the opportunity for a theory of economic sentiment or animal sprits...

This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov...