Measuring business cycles with business-cycle models

Measuring Business Cycle Time

Business cycle and sector cycles

A methodology based on the multivariate generalized Butterwoth filter for extracting the business cycles of the whole economy and of its productive sectors is developed. The method is then illustrated through an application to the Italian gross value added time series of the main economic sectors.

Measuring Business Cycles – a Dynamic Perspective

In this paper we study cyclical patterns by applying multivariate wavelet analysis. The wavelet covariance and wavelet correlation are defined and applied to the analysis of business cycles as an alternative to the traditional cross-spectrum analysis. The main findings for Slovenia are that there is a significant business cycle component in aggregate economic activity. Business cycles are asymm...

Measuring Synchronisation and Convergence of Business Cycles

This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in different cycles. Standard Kalman filter techniques are used to estimate the parameters simultaneously by m...

Business Cycles with Revolutions

This paper develops an empirical macroeconomic framework to analyze the relationship between major political disruptions and business cycles of a country. We combine a new dataset of political revolutions (mass domestic political campaigns to remove dictators and juntas) across the world since 1960, with coup data and traditional macro data (of output, investment, trade, inflation and exchange ...