business cycles

Yield curve and Recession Forecasting in a Machine Learning Framework

JEL codes: 
E30, E39
Version Date: 
Nov 2013
Author/s: 
Abstract: 

In this paper, we investigate the forecasting ability of the yield curve in terms of the
U.S. real GDP cycle. More specifically, within a Machine Learning (ML) framework,
we use data from a variety of short (treasury bills) and long term interest rates (bonds)
for the period from 1976:Q3 to 2011:Q4 in conjunction with the real GDP for the

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Business Cycle Synchronization Since 1880

JEL codes: 
N10
Version Date: 
Apr 2011
Abstract: 

This paper studies the international business cycle behaviour across 25 advanced and emerging market economies for which 125 years of annual
GDP data are available. The picture that emerges is more fragmented than the one drawn by studies that focused on a narrower set of advanced market

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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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Institutions and Business Cycles

JEL codes: 
E32
Version Date: 
Nov 2011
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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Credit Risk and Disaster Risk

JEL codes: 
E32, E44, G12
Version Date: 
Jan 2011
Author/s: 
Abstract: 

return on a well-diversified portfolio of corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in the corporate bond market (the "credit spread puzzle"). This paper introduces a parsimonious real business cycle model where firms issue defaultable debt and equity to finance investment.

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Business Cycles around the Globe: A Regime-switching Approach

JEL codes: 
C32, E32, E37
Version Date: 
Jul 2010
Author/s: 
Abstract: 

This paper characterizes business cycle phenomena in a sample of 27 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each country in question.

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International Business Cycle Spillovers

JEL codes: 
C32, E32, F41
Version Date: 
Jul 2010
Author/s: 
Abstract: 

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic aggregates across countries. I have several important results.

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Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real-Time Data are Available

JEL codes: 
E52, E58
Version Date: 
Aug 2009
Author/s: 
Abstract: 

A canonical model is described which reflects the real-time informational context of decision-making. Comparisons are drawn with ‘conventional’ models that incorrectly omit market-informed insights on future macroeconomic conditions and inappropriately incorporate information that was not available at the time.

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