integration impacts positively on business cycle comovements of economies. We consider three Western equity markets, represented … high frequencies have become less pronounced; (ii) the European markets are in phase at business cycle frequency, while the … findings of traditional business cycle research, and it has the advantage of using only readily available stock market data. …

This paper proposes a new filter technique to separate trend and cycle based on stylised economic properties of trend … and cycle, rather than relying on ad hoc statistical proper-ties such as frequency. Given the theoretical separation … between economic growth and business cycle literature, it is necessary to make the measures of trend and cycle match what the …

In this paper an Unobserved Components Model is employed to decompose U.S. real GDP into trend and cycle components … rate in the early seventies. A further result is a remarkable decrease in the volatility of the cycle component and the …