This paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its merits as an indicator of common business cycles among economic variables. It is shown that the presence of the serial correlation common feature in the first differences of a...

There are no official quarterly real GDP estimates for New Zealand for the period prior to 1977. We develop a seasonally adjusted series for 1947q2 to 2006q2, by linking quarterly observations from two recent official series to temporally disaggregated observations for an earlier time period....

In this paper we examine the volatility of aggregate output and employment in Australia with the aid of a frequency filtering method (the Butterworth filter) that allows each time series to be decomposed into trend, cycle and noise components. This analysis is compared with more traditional...

This paper fits hidden Markov switching models to New Zealand GDP data. A primary objective is to better understand the utility of these methods for modelling growth and volatility regimes present in the New Zealand data and their interaction. Properties of the models are developed together with...

Some main Norwegian quarterly macroeconomic time series are decomposed into unobserved components within the framework of structural time series models using UCARIMA models. In the most general case we allow for a stationary cyclical component besides a stochastic trend, a stochastic seasonal...

Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we illustrate this failure by...

We study the role of sentiment variables as predictors for US recessions. We combine sentiment variables with either classical recession predictors or common factors based on a large panel of macroeconomic and financial variables. Sentiment variables hold vast predictive power for US recessions...

The persistent current phase of negative growth has already triggered the awakening of long wave theories. Although long waves are obvious, even with a simple visual observation of the history of the data, doubts as to their existence are expressed by a variety of different theoretical and...

This paper explores the existence of a bounce-back effect in inventory investment using the European Commission opinion survey on stocks of finished products in manufacturing and retail trade sectors. The data are quarterly balance for France, Germany and a European aggregate, from 1985q1 to...