This paper evaluates the link between inflation and inflation uncertainty in a context of monetary policy regime shifts for the Peruvian economy. We use a model of unobserved components subject to regime shifts to evaluate this link. We verify that periods of high(low) inflation me an were...

Differencing is a very popular stationary transformation for series with stochastic trends. Moreover, when the differenced series is heteroscedastic, authors commonly model it using an ARMA-GARCH model. The corresponding ARIMA-GARCH model is then used to forecast future values of the original...

Cet article vise à évaluer la croissance potentielle en France, en Allemagne et en zone euro au cours de la période postérieure à la crise de crédit de 2007-2008 jusqu’à l’horizon de prévision 2012. Une telle évaluation joue en effet un rôle central dans celle du déficit...

Analizamos el proceso de convergencia en los PIB per cápita de 15 economías de la Unión Europea (UE-15) y su relación con el ciclo económico durante el periodo 1980 a 2004. Procedemos en tres etapas. En primer lugar, se utilizan modelos univariantes de componentes no observables con y sin...

This article aims at evaluating potential growth for France, Germany and the euro area during the period from after the 2007-2008 credit crisis until 2012. Such an assessment plays a central role in the determination of the structural deficit and therefore in the definition of consolidation...

When a certain procedure is applied to extract two component processes from a single observed process, it is necessary to impose a set of restrictions that defines two components. One popular restriction is the assumption that the shocks to the trend and cycle are orthogonal. Another is the...

This article aims at evaluating potential growth for France, Germany and the euro area during the period from after the 2007-2008 credit crisis until 2012. Such an assessment plays a central role in the determination of the structural deficit and therefore in the definition of consolidation...

We study the relation between the credit cycle and macro economic fundamentals in an intensity based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980–2005 we directly estimate the credit cycle from the micro rating data. We...

This discussion paper led to an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2009). Vol. 71, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic...</p></i>

This discussion paper resulted in an article in the <I>Journal of Empirical Finance</I> (2009). Vol. 16, issue 1, pages 42-54.<P> We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from...</p></i>