This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

By applying the structural factor analysis developed by Foerster et al. (2011), we decompose the fluctuations of Japan’s industrial production (IP) into sectoral shocks and aggregate shocks, taking input–output relationships between sectors into account. Our results show that, except for the...

Since the mid-2000s, Japan's industrial production (IP) has been characterized by increasing volatility. To examine the background to this, we apply the structural factor analysis developed by Foerster, Sarte, and Watson (2011) and decompose variations in Japan's IP into aggregate and sectoral...

In this paper we propose a relatively simple procedure to predict Euro-zone industrial production using mostly data derived from the business surveys of the three major economies within the European Monetary Union (France, Germany, and Italy). The basic idea is that of estimating business...

In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlier-robust ARIMA model used as a benchmark. We show that the use of...

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...

We apply Diebold-Yilmaz spillover index methodology to monthly industrial production indices to study business cycle interdependence among G-6 industrialized countries since 1958. The business cycle spillover index fluctuates substantially over time, increasing especially after the 1973-75,...

In this paper we consider deterministic seasonal variation in quarterly production for several European countries, and we address the question whether this variation has become more similar across countries over time. Due to economic and institutional factors, one may expect convergence across...

Output gaps for ten European countries and the USA are estimated based on a CES production function with input augmentation in the technological progress. The substitution parameter is estimated from the coefficients of the labor and capital demand functions. The estimation is done using...