This paper examines the roles of domestic and international variables in predicting expansion and recession regimes of the growth rate cycle for Germany, France, Italy and the UK over the period 1972 to 2003, using a range of real and financial variables as leading indicators. The output gap,...

We test for a change in the volatility of 214 US macroeconomic time series over the period 1959-1999. We find that about 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in conditional mean,...

Recent literature has uncovered asymmetries in the response of real output to monetary policy variables. Nevertheless, it remains unclear whether such asymmetries relate to different responses to monetary policy or to the business cycle. This paper uses nonlinear models to examine the issues in...

This paper examines the roles of domestic and international variables in predicting classical business cycle regimes in Germany, France, Italy and the UK over the period 1970 to 2001. A range of real and financial variables are used as leading indicators in domestic models, with these variables...

This paper tests some empirical implications of a theoretical model which proposes that the relationship between growth and its uncertainty depends fundamentally on whether the stochastic shocks causing fluctuations are real or nominal and on the presence of nominal rigidities in the economy....

This paper investigates the nature of nonlinearities in the monetary policy rule of the US Fed using the flexible approach of Hamilton (2001). We find that while there is significant evidence of nonlinearity for the period to 1979, there is little such evidence for the subsequent period....