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Measuring uncertainty and its effects in a small open economy
Cabello, Miguel; Nivin, Rafael - 2022
model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …
Persistent link: https://www.econbiz.de/10013540621
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
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Cyclical consumption
Berger, Tino; Pozzi, Lorenzo - 2023
Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...
Persistent link: https://www.econbiz.de/10014380708
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The direction, timing and causality relationships between the cyclical components of real and financial variables during the financial liberalization period in Turkey
İnsel, Aysu; Soytaş, Mehmet Ali; Gündüz, Seda - 2004 - Draft version.1
The purpose of this paper is the determination of sources and pattern of business cycle in Turkey throughout the period 1988-2002 using quarterly data. The question of the paper is "Has financial liberalization increased the fragility of the financial and real sides of the Turkish economy?". The...
Persistent link: https://www.econbiz.de/10011529029
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National and supranational business cycles (1960 - 2000) : a multivariate description of central G7 and EURO15 NIPA aggregates
Süssmuth, Bernd - 2002
This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the ….The central findings are summarized with regard to (i) national product share, contribution-to-variance and volatility …
Persistent link: https://www.econbiz.de/10011408998
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Factor Analysis of Permanent and Transitory Dynamics of the US Economy and the Stock Market
Senyuz, Zeynep - 2010
We analyze dynamics of the permanent and transitory components of the U.S. economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture asymmetries over the phases of economic and stock market trends and cycles using independent Markov-switching processes....
Persistent link: https://www.econbiz.de/10013135851
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Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle
Herwartz, Helmut; Lange, Alexander; Maxand, Simone - 2019
Structural vector autoregressive analysis aims to trace the contemporaneous linkages among (macroeconomic) variables back to underlying orthogonal structural shocks. In homoskedastic Gaussian models the identification of these linkages deserves external and typically notdata-based information....
Persistent link: https://www.econbiz.de/10012027359
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Assessing the cross-country interaction of financial cycles : evidence from a multivariate spectral analysis of the US and the UK
Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2017
In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...
Persistent link: https://www.econbiz.de/10011710009
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Semi-structural VAR and unobserved components models to estimate finance-neutral output gap
Kátay, Gábor; Kerdelhué, Lisa; Lequien, Matthieu - 2020
real-time volatility. While the extended Hodrick-Prescott filter is particularly appealing for its real-time stability, it …
Persistent link: https://www.econbiz.de/10012320331