In diesem Papier wird eine Konjunkturbereinigung des öffentlichen Haushaltssaldos für Deutschland vorgestellt. In den bisher am meisten verbreiteten Ansätzen wird der Konjunktureinfluss über die Abweichung des Bruttoinlandsprodukts vom Trend oder von der Normalauslastung der Wirtschaft...

The paper by Van den Dool proposes to accompany a cyclically-adjusted balance, computed using a standard “gap elasticity” approach, with a “structural balance”, calculated as a moving weighted average of the actual balance (using the Hodrick-Prescott filter). The structural balance, in...

Improving the accuracy of cash flow forecasting in the TSA is the key to fulfilling government payment obligations, minimizing the cost of maintaining the cash reserve, providing the absence of outstanding debt accumulation, and ensuring investment in various financial instruments to obtain...

The HP filter suffers from a pro-cyclical bias in end-of-sample trend estimates. This paper argues that this feature is related to the 'missing cycle' in the stochastic model of the filter. The paper suggest an extensions of the HP filter by including a stochastic cycle component in the...

Inspired by the question of identifying the start time τ of financial bubbles, we address the calibration of time series in which the inception of the latest regime of interest is unknown. By taking into account the tendency of a given model to overfit data, we introduce the Lagrange...