Members Research Papers

Currency Union, Free Trade Areas, and Business Cycle Synchronization

JEL codes: 
C12, C13, C14, C15, C32, E32, F15
Version Date: 
Mar 2010
Author/s: 
Abstract: 

Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity and economic/financial integration.

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An Area-Wide Real-Time Database for the Euro Area

JEL codes: 
C01, C82, E24, E58
Version Date: 
Jan 2010
Abstract: 

This paper describes how we constructed a real-time database for the euro area covering more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available ahead of publication to the Governing Council members before their first meeting of the month.

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Booms and Busts in Asset Prices

JEL codes: 
D84, G12
Version Date: 
Jan 2010
Author/s: 
Abstract: 

We show how low-frequency boom and bust cycles in asset prices can emerge from Bayesian learning by investors. Investors rationally maximize infinite horizon utility but hold subjective priors about the asset return process that we allow to differ infinitesimally from the rational expectations prior.

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A Banking Explanation of the US Velocity of Money: 1919-2004

JEL codes: 
E13, E32, E44
Version Date: 
Oct 2009
Author/s: 
Abstract: 

The paper shows that US GDP velocity of M1 money has exhibited long cycles around a 1.25% per year upward trend, during the 1919-2004 period. It explains the velocity cycles through shocks constructed from a DSGE model and annual time series data (Ingram et al., 1994).

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A Defence of the FOMC

JEL codes: 
C53, E52, E58
Version Date: 
Sep 2009
Author/s: 
Abstract: 

We defend the forecasting performance of the FOMC from the recent criticism of Christina and David Romer. Our argument is that the FOMC forecasts a
worst-case scenario that it uses to design decisions that will work well enough (are robust) despite possible misspecification of its model. Because these

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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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Learning and the Great Moderation

Version Date: 
Jul 2009
Author/s: 
Abstract: 

We study a stylized theory of the volatility reduction in the U.S. after 1984 - the Great Moderation - which attributes part of the stabilization to less volatile shocks and another part to more difficult inference on the part of Bayesian households attempting to learn the latent state of the economy.

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The Implementation of SNB Monetary Policy

JEL codes: 
G15
Version Date: 
Jul 2009
Abstract: 

We use a regime-switching approach to model the implementation of SNB monetary policy. The regime-switching technique is crucial for assessing the exibility inherent in the SNB's monetary policy strategy.

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Identification of slowdowns and accelerations for the euro area economy

JEL codes: 
C22, C52, E32
Version Date: 
Jun 2009
Abstract: 

In addition to quantitative assessment of economic growth using econometric models, business cycle analyses have been proved to be helpful to practitioners in order to assess current economic conditions or to anticipate upcoming fluctuations.

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