C32

Multiple or Simultaneous Equation Models: Time-Series Models

Time-varying Business Cycles Synchronisation in Europe

JEL codes: 
C32, E32, F43, O52
Version Date: 
Nov 2013
Abstract: 

The paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level.

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Business Cycle Spillovers in the EU15: What is the Message Transmitted by the Periphery?

JEL codes: 
C32, E32, F00
Version Date: 
Dec 2013
Abstract: 

We examine business cycle spillovers in the EU15 countries by employing the spillover index approach of Diebold and Yilmaz (2009, 2012), over the period 1977-2012. The propagation mechanisms of business cycle shocks among EU15 is becoming a major interest due to unprecedented recent economic turbulence. The results of our analysis reveal the following empirical regularities.

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Monetary Transmission Mechanism and Time Variation in the Euro Area

JEL codes: 
C11, C32, C33, E50
Version Date: 
Nov 2012
Author/s: 
Abstract: 

This paper examines the monetary transmission mechanism in the euro area for the period of single monetary policy using factor-augmented vector autoregressive (FAVAR) techniques. The contributions of the paper are fourfold. First, a novel dataset consisting of 120 disaggregated macroeconomic time series spanning the period 1999:M1 through 2011:M12 is gathered for the euro area as an aggregate.

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Forecasting and signal extraction with regularised multivariate direct filter approach

JEL codes: 
C13, C32, E32, E37
Version Date: 
Dec 2012
Author/s: 
Abstract: 

The paper studies regularised direct filter approach as a tool for high-dimensional filtering and real-time signal extraction. It is shown that the regularised filter is able to process high-dimensional data sets by controlling for effective degrees of freedom and that it is computationally fast.

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Housing Cycles and Macroeconomic Fluctuations: A Global Perspective

JEL codes: 
C32, E32, F40
Version Date: 
Aug 2012
Author/s: 
Abstract: 

This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies.

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A New Real-Time Indicator for the Euro Area GDP

JEL codes: 
C13, C32, E32, E37
Version Date: 
Jul 2012
Author/s: 
Abstract: 

The paper proposes a new real-time unrevised indicator tracking medium-to-long-term component in the quarterly growth of the euro area GDP. The new indicator is based on recently developed real-time filtration methodology, the multivariate direct filter approach, applied to selected business and consumer survey and share price data.

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Money, credit, monetary policy and the business cycle in the euro area

JEL codes: 
C32, C51, E32, E51
Keywords: 
Version Date: 
Apr 2012
Abstract: 

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle.

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Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns

JEL codes: 
C32, E44, G10
Version Date: 
Feb 2012
Author/s: 
Abstract: 

In this paper, I study the correlation between stock and bond returns. We can define flight-to-quality from stocks to bonds as the decrease in the correlation between the two assets in falling stock markets periods (bear state), since the two assets returns move in the opposite direction.

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Bayesian Doubly Adaptive Elastic-Net Lasso for VAR Shrinkage

JEL codes: 
C11, C32, C53
Version Date: 
Jan 2012
Author/s: 
Abstract: 

We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for
VAR shrinkage. DAELasso achieves data selection and coefficients shrinkage in a data based manner.
It constructively deals with the explanatory variables that tend to be highly collinear by encouraging

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Institutions and Business Cycles

JEL codes: 
C32, E32, E37
Version Date: 
Dec 2012
Author/s: 
Abstract: 

This paper investigates the relationship between the main features of business cycles and the institutional and structural characteristics of countries of up to 62 industrial, emerging and formerly centrally planned economies from all continents. We derive the business cycle characteristics using the nonparametric Harding-Pagan approach.

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