Members Research Papers

GDP Growth Predictions through the Yield Spread. Time-Variation and Structural Breaks

JEL codes: 
C22, C32, C53, E37, E43, E47
Version Date: 
Feb 2011
Author/s: 
Abstract: 

We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US over the last decades and until the third quarter of 2010.

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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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Autoregressions in Small Samples, Priors about Observables and Initial Conditions

JEL codes: 
C11, C22, C32
Version Date: 
Sep 2010
Abstract: 

We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series.

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GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries

JEL codes: 
C53, E43, E44, E52
Version Date: 
Aug 2010
Author/s: 
Abstract: 

Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q1.

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The effects of foreign shocks when interest rates are at zero

JEL codes: 
F32, F41
Version Date: 
Aug 2010
Abstract: 

In a two-country DSGE model, the effects of foreign demand shocks on the home country are greatly amplified if the home economy is constrained by the zero lower bound for policy interest rates. This result applies even to countries that are relatively closed to trade such as the United States.

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Technology Shocks: Novel Implications for International Business Cycles

JEL codes: 
E32, F32, F41
Version Date: 
Aug 2010
Author/s: 
Abstract: 

Understanding the joint dynamics of international prices and quantities remains a central issue in international business cycles. International relative prices appreciate when domestic consumption and output increase more than their foreign counterparts. In addition, both trade flows and trade prices display sizable volatility.

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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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