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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Dissertation
Non-linearities in macroeconomics : evaluation of non-linear time series models
TL;DR: In this article, the authors evaluate different specifications of non-linear time series models applied to macroeconomic problems and evaluate their performance in predicting the probability of two definitions of recessions.
International fund flows: surges, sudden stops, and cyclicality
TL;DR: This article examined the drivers of large changes in fund flows (surges and sudden stops) and the dynamic relationship between fund flows and equity returns, exchange rates, and business cycles of the receiving countries.
Posted Content
Business cycle synchronization within the European Union: A wavelet cohesion approach
Lubos Hanus,Lukas Vacha +1 more
TL;DR: In this paper, the authors study the process of business cycle synchronization across the European Union by applying wavelet techniques, particularly the cohesion measure with time-varying weights, and find that participation in a currency union possibly increases the co-movement.
Posted Content
The effect of asymmetries in fiscal policy conducts on business cycle correlation in the EU
TL;DR: In this article, the effects of asymmetries in fiscal policy conduct upon the correlation of business cycles in the European Union were examined and the results showed a significant and robust negative effect of fiscal indiscipline and dissimilarity upon business cycle correlation in the EU.
Journal ArticleDOI
Are the macroeconomic effects on oil price asymmetric? An asymmetric quantile regression approach
TL;DR: In this paper , the dependence and causality between crude oil and macro-fundamentals change across different quantiles of the distribution function, and the response of oil prices not only differs according to the underlying source of the variables shock but also differs across the quantiles.
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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.