One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic...

Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not...

The financial cycle captures systematic patterns in the financial system and is closely related to the concept of procyclicality of systemic risk. This paper investigates the characteristics of financial cycles using a multivariate model-based filter. We extract cycles using an unobserved...

We use unobserved components time series models to extract real and financial cycles for Luxembourg over the period 1980Q1-2018Q2. We find that financial cycles are longer and have larger amplitude compared to standard business cycles. Furthermore, financial cycles are highly correlated with...

Objective - The removal of fuel subsidies by the Malaysian government in 2014 has been implement with the managed float system for fuel prices.Methodology/Technique - This study investigates the impact of the managed floating system of crude oil prices on the Malaysian economy using ARDL...

This paper critically assesses the practice of band-pass filtering (the non-structural, frequency-domain based decomposition of economic time series into trend and cyclical components), making two main points. First, it is shown that: (a) depending on the stochastic properties of the filtered...