This paper aims an empirical investigation of uncertainty in the Euro Zone as well as the US. For this purpose I conduct a factor analysis of uncertainty measures starting in 2001 until the end of 2011. I use survey-based data provided by the ECB and the Federal Reserve Bank of Philadelphia as...

In this research we develop generalized diffusion indexes for the Mexican state and sectorial economic activity. These indexes summarize the dynamics of the local cycles in a way that they are consistent with the aggregate economic activity. The proposed index includes three dimensions of the...

We use annual, quarterly and monthly data from the US to show that the correlation between housing prices and transaction volume (number of existing houses sold) di¤ers across di¤erent frequencies. While the correlation is high at the low frequencies it declines to the levels close to zero at...

Many filters have been developed to estimate trend-cycle component of time series. Among these tools, moving averages remain the most efficient. In particular, while the symmetric Henderson smoother is applied for trend-cycle estimation in software programs such as X11, for the most recent...

Cet article présente les contributions originelles et essentielles de T. Sargent et C. Sims à la modélisation macro-économétrique. Après avoir exposé leur critique de la modélisation existante, cet article s'attache à préciser l'originalité de leurs approches respectives. La...

This paper gives money a role in providing cheap collateral in a model of banking; besides the Taylor Rule, monetary policy can affect the risk-premium on bank lending to firms by varying the supply of M0, so at the zero bound monetary policy is effective; fiscal policy crowds out investment via...

We apply the measure of dynamic correlation developed by Croux, Forni and Reichlin (2001) [A measure of comovement for economic variables: theory and empirics. Review of Economics and Statistics 83, 232-241] to the relation between the quarterly rates of unemployment and labor productivity...

Using the structural unobserved component (UC) modeling, this study analyzes the Senegalese economic growth path after 5 decades of independence by focusing on the potential output, the GDP cycle and the type of shocks on the GDP. Empirical evidence suggests that an inventory cycle mainly drives...

Even well managed emerging market economies are exposed to significant external risk, the bulk of which is financial. At a moment's notice, these economies may be required to reverse the capital inflows that have supported the preceding boom. While capital flows crises are sudden nonlinear...