We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...

Hamilton (2018) proposes a regression filter (Hamilton filter) as an alternative to the Hodrick-Prescott filter (HP filter). Using frequency domain analysis, among others, I show that the Hamilton filter improves on the HP filter, because it does not induce spurious cycles and it has a smaller...

We show that one should not use the one-sided Hodrick-Prescott filter (HP-1s) as the real-time version of the two-sided Hodrick-Prescott filter (HP-2s): First, in terms of the extracted cyclical component, HP-1s fails to remove low-frequency fluctuations to the same extent as HP-2s. Second,...

Hamilton (2017) criticises the HP filter because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) which, moreover, apply to other popular time series filters as well. As an alternative filter, he proposes a regression...

I propose a Bayesian quantile VAR to identify and assess the impact of uncertainty and certainty shocks, unifying Bloom's (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future real economic activity growth, in line with a risk...

Paul Hiebert and Massimo Rostagno explore the analytical links between EMU fiscal rules and the theory of fiscal sustainability with a focus on the transition to the equilibrium debt to GDP ratios implied by such rules. The authors argue that such a transition cannot be satisfactorily managed by...