Members Research Papers

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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Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis

JEL codes: 
D82, E44, F41
Version Date: 
Jul 2010
Author/s: 
Abstract: 

Uncertainty about the riskiness of a new financial environment was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by observation" the true riskiness of the new environment.

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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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Asynchronous Business Cycles in the E.U.: the Effect of the Common Currency

JEL codes: 
E32, E37, E40
Version Date: 
May 2010
Author/s: 
Abstract: 

The purpose of this paper is to examine the effectiveness of the policies and procedures towards economic convergence between the countries that participated in the European Exchange Mechanism I and which are now members states of the Eurozone.

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Housing Markets and Current Account Dynamics

JEL codes: 
F32
Version Date: 
Apr 2010
Author/s: 
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Expectation Shocks and Learning as Drivers of the Business Cycle

JEL codes: 
E31, E32, E52, E58
Version Date: 
Mar 2010
Author/s: 
Abstract: 

Psychological factors, market sentiments, and shifts in beliefs are believed by many to play a nontrivial role in inducing and amplifying economic fluctuations. Yet, these forces are rarely considered in macroeconomic models. This paper provides an attempt to evaluate the empirical role of expectational shocks on business cycle fluctuations.

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Measuring Output Gap Uncertainty

JEL codes: 
C32, C53, E37
Version Date: 
Mar 2010
Abstract: 

We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities for the unobserved output gap.

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