In this paper a dynamic probit model for recession forecasing under pseudo-real time is set up using a large set of macroeconomic and financial monthly indicators for Germany. Using different initial sets of explanatory variables, alternative dynamic probit specifications are obtained through an...

This paper studies the dynamics of macroeconomic risk, fiscal policy and the macroeconomy in a two-country monetary union framework, under the assumption that agents do not have rational expectations, but use heuristics to determine their consumption over time, as well as to assess macroeconomic...

The dichotomous characterization of the business cycle in recessions and expansions has been central in the literature over the last fifty years. However, there are various reasons to question the adequacy of this dichotomous approach for our understanding of business cycle dynamics, as well as...

While the COVID-19 pandemic posits a significant challenge to all societies around the world, it also reveals in the most dramatic manner the many abysmal differences between so-called advanced economies and the developing world.

In the production function-based approach proposed by the European Commission for the estimation of the potential output, trend total factor productivity (TFP) is indirectly estimated on the basis of cyclical factors. Instead, this article proposes a more economics-based foundation of trend-TFP...

We assess whether euro area inflation expectations, as measured by break-even inflation rates (BEIRs), have remained anchored during the financial crisis. Since autumn 2008, the volatility of BEIRs has increased considerably. We treat observed BEIRs as a sum of `genuine BEIRs' and additional...

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If...

Data revisions to national accounts pose a serious challenge to policy decision making. Well-behaved revisions should be unbiased, small and unpredictable. This paper shows that revisions to German national accounts are biased, large and predictable. Moreover, using filtering techniques designed...