of the trend-cycle decomposition, but the Hodrick-Prescott filter does not allow for jumps. We propose a modification of …The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a … business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 …

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle … asymmetric cycles. The presence of asymmetry can be tested using classical likelihood based test statistics. The trend-cycle de …. In this paper we show that a limited modification of the standard cycle component leads to a flexible device for …

The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value … illustrate that the multistep Beveridge-Nelson trend is more efficient than the standard one in the presence of model …

characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully …

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a … inclusion of cycle components in different selections of economic variables with different scales and with possible phase shifts …. We find clear evidence of the presence of a financial cycle with a length that is approximately twice the length of a …

This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the … business cycle. There is a relatively stable trimodal pattern during expansionary and recessionary phases characterized by … cycle dynamics. …