E32

Business Fluctuations; Cycles

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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Firms' entry, monetary policy and the international business cycle

JEL codes: 
E32, E52
Version Date: 
Jul 2013
Author/s: 
Abstract: 

This paper proposes a two-country monetary model with firm entry as a means for alleviating the comovement puzzles in international business cycle models. It shows that business formation can generate fluctuations in output, employment, investment and trade flows close to those in the datawhile at the sametimeproviding positive international comovements.

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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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Firms' entry, monetary policy and the international business cycle

JEL codes: 
E30, E32, E52
Version Date: 
Jun 2013
Author/s: 
Abstract: 

This paper proposes a two-country monetary model with firm entry as a means for alleviating the comovement puzzles in international business cycle models. It shows that business formation can generate fluctuations in output, employment, investment and trade flows close to those in the datawhile at the sametimeproviding positive international comovements.

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BUSINESS CYCLE SYNCHRONIZATION IN THE EUROPEAN UNION: THE EFFECT OF THE COMMON CURRENCY

JEL codes: 
E32, E42, E52
Version Date: 
Apr 2013
Author/s: 
Abstract: 

In this paper, I analyse the synchronization of business cycles within the E.U., as this is an important ingredient for the implementation of a successful monetary policy. The business cycles of twelve E.U. countries and two sub-groups of countries are extracted for the period 1989Q1-2010Q2.

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Precautionary Saving over the Business Cycle

JEL codes: 
E20, E21, E32
Version Date: 
Feb 2013
Abstract: 

We study the macroeconomic implications of time-varying precautionary saving within a general equilibrium model with borrowing constraint and both aggregate shocks

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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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