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Dynamic hysteresis effects
Li, Mengheng; Mendieta-Muñoz, Ivan - 2024
We study how the output gap affects potential output over time-i.e., the dynamic hysteresis effect. To do so, we … introduce novel unobserved components (UC) models that consider hysteresis as a sequence of lagged effects, thus separating the … hysteresis effects after the 1970s, with the negative long-run effect of the Global Financial Crisis and the COVID-19 recessions …
Persistent link: https://www.econbiz.de/10014483593
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The multivariate simultaneous unobserved components model and identification via heteroskedasticity
Li, Mengheng; Mendieta-Muñoz, Ivan - 2019
We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only...
Persistent link: https://www.econbiz.de/10013269242
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The multivariate simultaneous unobserved components model and identification via heteroskedasticity
Li, Mengheng; Mendieta-Muñoz, Ivan - 2019
We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only...
Persistent link: https://www.econbiz.de/10012010854
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Dynamic hysteresis effects
Li, Mengheng; Mendieta-Muñoz, Ivan - In: Journal of economic dynamics & control 163 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015050835
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Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
Li, Mengheng; Mendieta-Muñoz, Ivan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 337-359
Persistent link: https://www.econbiz.de/10013334751
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An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle
Corradini, Riccardo - EconWPA - 2005
This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis applied by Cochrane and the Kalman filter technology with correlated error components are used. The latter approach compared with the former reveals a clear rejection of PIH for...
Persistent link: https://www.econbiz.de/10005407948
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Time-varying equilibrium rates in small open economies: Evidence for Canada
Berger, Tino; Kempa, Bernd - Center for Quantitative Economics (CQE), … - 2014
This paper estimates equilibrium rates of macroeconomic aggregates for small open economies. We simultaneously identify the transitory and permanent components of output, inflation, the interest rate and the exchange rate by means of a multivariate trend-cycle decomposition. Realizations of the...
Persistent link: https://www.econbiz.de/10010939330
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Trends and cycles in economic time series: A Bayesian approach
van Dijk, Herman K.; Harvey, Harvey, A.C.; Trimbur, … - Faculteit der Economische Wetenschappen, Erasmus … - 2005
Trends and cyclical components in economic time series are modeled in a Bayesian framework. This enables prior notions about the duration of cycles to be used, while the generalized class of stochastic cycles employed allows the possibility of relatively smooth cycles being extracted. The...
Persistent link: https://www.econbiz.de/10010837758
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Re-examining the Structural and the Persistence Approach to Unemployment
BERGER, T.; EVERAERT, G. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2006
This paper examines the relative importance of the structural and the persistence approach to unemployment. We set out a standard imperfect competition model that decomposes observed unemployment into a structural and a persistent cyclical component. The natural rate of unemployment is treated...
Persistent link: https://www.econbiz.de/10004982860
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Cyclical Components in Economic Time Series: a Bayesian Approach
Harvey, A.; TTrimbur, T.; van Dijk, H. - Faculty of Economics, University of Cambridge - 2003
Cyclical components in economic time series are analysed in a Bayesian framework, thereby allowing prior notions about periodicity to be used. The method is based on a general class of unobserved component models that allow relatively smooth cycles to be extracted. Posterior densities of...
Persistent link: https://www.econbiz.de/10005647345