We investigate the cyclicality of real wages and income using individual data for the UK over the 1991-2008 period. By paying special attention to the heterogeneity among different earnings and income groups, we document that individuals at the top of the distribution are more cyclical than...

This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our...

This paper explores whether the procyclicality of private credit changes during the business cycle. To this end, we rely on the estimation of smooth transition regression models for a sample of 17 OECD countries over the 1986–2010 period. Our findings show that credit procyclicality is...

The aim of this paper is to investigate whether the banking sector structure matters in explaining credit procyclicality for 17 OECD countries over the 1986–2010 period. To this end, we first provide a detailed classification of the banking system structure through the use of a hierarchical...

In this paper we study asymmetries in the Taylor rule for the United States during the 1970–2012 period. We show that monetary authorities have been constantly concerned with excess demand in overheated periods – when the output gap is positive or the unemployment rate falls below 7% or 7.5%...

The aim of this paper is to investigate the asymmetric effect of exchange rate variations on prices over the short- and long-run in four major developed countries. To this end, we estimate a mark-up model for prices using a novel and simple asymmetric cointegrating model, with positive and...

In this paper, we propose a matching and search model with adjustment costs in the form of labor disruption charges that can generate counter-cyclical real wages. Empirically, we use a measure of wage cyclicality based on the generalized impulse response function of real wages to a shock in a...

Based on the theoretical literature on price setting behavior, we model three distinct forms of nonlinearity that can describe the reduced-form Phillips curve: reaction asymmetry, state dependence and a mix of both. Employing these models to the G5 for the 1985-2011 period, we find that: (i) the...

In a unified theoretical framework introduced by López-Villavicencio et al. [2012], we analyze the two main models of equilibrium exchange rate, namely, the fundamental equilibrium exchange rate (feer) and the behavioral equilibrium exchange rate (beer). To understand the interactions between...

This paper investigates whether trade and financial openness has weakened the inflation–output trade-off and caused a shift in the preferences of monetary authorities. Based on the backward-looking Phillips curve and a Taylor-type interest rate rule, our results for France, the UK and the USA...