Abstract We show that pro‐cyclicality is inherent in risk measure estimates based on historical data. Taking the example of VaR, we empirical VaR mean‐reverting over a 1‐year horizon when portfolio held fixed. It means capital requirement rule measurements tends calm times to understate future required and volatile overstate it. To quantify this pro‐cyclicality, develop simple efficient methodo...

In the most thorough study to date on wage cyclicality among job stayers, Devereux’s (2002) analysis of men in the Panel Study of Income Dynamics produced two puzzling findings: (1) the real wages of salaried workers are noncyclical, and (2) wage cyclicality among hourly workers differs between two alternative wage measures. We examine these puzzles with additional evidence from other sources. ...

This paper studies bank loans over the business cycles in Iran to determine the role of Iranian banks in stabilizing credit. By estimating the long-run relations using dynamic OLS and fully modified OLS estimators, the findings show that real bank lending is positively related to real GDP in the long-run providing evidences of the pro-cyclicality of bank lending in Iran. Hence, Iranian banking ...