financial conditions over time in order to improve our understanding of financial cycles. Looking back at 120 years of data, we … conventionally plotted time-series data (that is, observed in calendar time). Using the pioneering framework developed by Stock (1987 …), we offer a new statistical characterisation of the financial cycle using a continuous-time autoregressive model subject …

emphasis on works dealing with time variation of parameters and other types of nonlinearities. We then present an application … financial shock are time-varying and contingent on the state of the economy. They are of negligible importance in normal times …

information on existing investment projects, which takes time to rebuild. We provide new empirical evidence using US firm …