This paper examines the consequences of using "real-time" data for business cycle analysis in Germany based on a novel data set covering quarterly real output data from 1968 to 2001. Real-time output gaps are calculated. They differ considerably from their counterparts based on the most recent...

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

In this paper, we perform an empirical comparison of Italian and US business cycles. After filtering the time series of the main macroeconomic variables of the two countries, through an approximate bandpass filter, we analyze the cross-correlations between each filtered variable and the filtered...

Several economic data series of Liechtenstein are backwardly estimated in order to achieve consistent historic time series. The generated series consist for instance of the national income for the years 1954 to 1992 (by regressive inter- and retropolation with indicators) and 1993 to 1997 (by...

This note shows that German real GDP follows a trend-stationary process. Both tests which have trend-stationarity as the alternative hypothesis as well as tests that have it under the null hypothesis prefer the trend-stationary model. Explicit consideration of breaks in the trend is not...

We build an equilibrium business cycle model in which agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks and learn about those components using the Kalman filter. Calibrated to Mexico, the model predicts a higher variability of consumption relative...