Journal ArticleDOI
Dissecting the cycle: a methodological investigation
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In this paper, the authors define the cycle as a pattern in the level of aggregate economic activity and develop an algorithm to locate turning points, as well as a new measure of procyclicality.About:
This article is published in Journal of Monetary Economics.The article was published on 2002-03-01. It has received 1432 citations till now.read more
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Dating and forecasting the Belgian business cycle
TL;DR: In this article, the authors investigated the Belgian business cycle and established a chronology of cycles over the period 1980-2002 using real GDP, which they suggest can be regarded as a reference cycle.
Dissertation
Dynamic factor model with non-linearities : application to the business cycle analysis
TL;DR: The Dynamical Influence MS-DFM is extended and suggested and allows to evaluate the contribution of the financial sector to the dynamics of the business cycle and vice versa, taking into consideration that the interaction between them can be dynamic.
Posted Content
GDP Revisions: Measurement and Implications
TL;DR: In this article, the authors investigated the pattern and size of revisions to real gross domestic product (GDP) over the past decade or so and examined the feasibility of adjusting real-time estimates of GDP for apparent patterns in revisions, predicting future revisions and calculating confidence intervals around the historical data.
Journal ArticleDOI
Deviation Cycles in Manufacturing
TL;DR: In this paper, the deviation cycles in the manufacturing industry of nine OECD-countries are identified by applying the Christiano-Fitzgerald band-pass filter, and turning points, low and high growth phases and other descriptive statistics are derived from these deviation cycles.
Book
A New Core Inflation Indicator for New Zealand
Domenico Giannone,Troy Matheson +1 more
TL;DR: In this paper, a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate price data, is introduced, which is used as an analytical approximation of the inflation target from the PTA, which requires the Reserve Bank to keep annual inflation between 1 and 3 percent on average over the medium term.
References
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Journal ArticleDOI
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
Journal ArticleDOI
Measuring Business Cycles.
Book
Frontiers of business cycle research
TL;DR: In this paper, recursive methods for computing Equilibria of business cycle models are described. But they are not suitable for non-Walrasian economic models with imperfectly competitive product markets.
Journal ArticleDOI
Detrending and business cycle facts
Fabio Canova,Fabio Canova +1 more
TL;DR: This paper examined the business cycle properties of a small set of real US macroeconomic time series using a variety of detrending methods and found that both quantitatively and qualitatively "stylized facts" of US business cycles vary widely across detrended methods and that alternative detending filters extract different types of information from the data.