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Members Research Papers

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

JEL codes: 
E32, E42, E52
Keywords: 
business cycle, Synchronization, Eurozone
Version Date: 
Apr 2013
Author/s: 
Periklis Gogas
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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Heterogeneous Convergence

JEL codes: 
H50, H70, O11, O18, O40, O51, R11
Keywords: 
Economic Growth, Conditional Convergence, Heterogeneity, U.S. County Level Data
Version Date: 
Apr 2013
Author/s: 
Daniel Levy
Abstract: 

We use U.S. county-level data to estimate convergence rates for 22 individual states. We find significant heterogeneity. E.g., the California estimate is 19.9 percent and the New York estimate is 3.3 percent. Convergence rates are essentially uncorrelated with income levels.

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Precautionary Saving over the Business Cycle

JEL codes: 
E20, E21, E32
Version Date: 
Feb 2013
Author/s: 
Edouard Challe, Xavier Ragot
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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Does Easing Monetary Policy Increase Financial Instability?

JEL codes: 
E44, E52, E61
Keywords: 
monetary policy, Macro-Prudential Policies, Financial Crises, Real Rigidities, Credit Frictions
Version Date: 
Jan 2013
Author/s: 
Ambrogio Cesa-Bianchi, Alessandro Rebucci
Abstract: 

We develop a model featuring both a macroeconomic and a financial stability objective that speaks to the interaction between monetary and macro-prudential policies.

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Forecasting and signal extraction with regularised multivariate direct filter approach

JEL codes: 
C13, C32, E32, E37
Keywords: 
high-dimensional filtering; real-time estimation; coincident indicator; leading indicator; parameter shrinkage; business cycles; dynamic factor model
Version Date: 
Dec 2012
Author/s: 
Ginters Buss
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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Value-Based Inventory Management

Keywords: 
inventory, liquidity, current assets
Version Date: 
Dec 2012
Author/s: 
Grzegorz Michalski
Abstract: 

The basic financial purpose of a firm is to maximize its value. An inventory management system should also contribute to realization of this basic aim. Many current asset management models currently found in financial management literature were constructed with the assumption of book profit maximization as basic aim.

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Institutions and Business Cycles

JEL codes: 
C32, E32, E37
Keywords: 
business cycles, Institutions, nonparametric analysis and synchronization
Version Date: 
Dec 2012
Author/s: 
Sumru Altug
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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The Additional Information Content of Survey Data. Evidence from Second Moments

JEL codes: 
C53, D83, D84
Keywords: 
Survey Expectations, Forecasting Models, Real-Time Data Analysis.
Version Date: 
Dec 2012
Author/s: 
Maurizio Bovi
Abstract: 

Disagreement across forecasters is a well-established fact as widespread is the use of forecasting errors as a proxy of uncertainty.

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Asymmetric Fiscal Policy Shocks

JEL codes: 
E62
Keywords: 
VAR, Fiscal Policy, Asymmetric Effects
Version Date: 
Nov 2012
Author/s: 
Periklis Gogas
Abstract: 

We empirically test the effects of unanticipated fiscal policy shocks on the level and growth rate of real output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observations over the period 1967:1 to 2011:4. In doing so, we use six alternative vector autoregressive systems in order to construct the fiscal policy shocks.

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Monetary Transmission Mechanism and Time Variation in the Euro Area

JEL codes: 
C11, C32, C33, E50
Keywords: 
Bayesian methods, Euro area, Monetary Policy Shocks, FAVAR, Rolling Windows
Version Date: 
Nov 2012
Author/s: 
Kemal Bagzibagli
Abstract: 

This paper examines the monetary transmission mechanism in the euro area for the period of single monetary policy using factor-augmented vector autoregressive (FAVAR) techniques. The contributions of the paper are fourfold. First, a novel dataset consisting of 120 disaggregated macroeconomic time series spanning the period 1999:M1 through 2011:M12 is gathered for the euro area as an aggregate.

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