This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro–Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro–Dollar exchange rate closely...

[fre] Cet article donne un éclairage sur les conditions d’optimalité de la politique monétaire commune dans le cadre l’Union économique et monétaire européenne (UEM), en évaluant le degré de synchronisation des cycles économiques entre les différents Etats-membres. Les...

This paper provides an insight into the level of economic and monetary integration in Europe by analysing the degree of growth cycle synchronisation between seven European countries over the past thirty years. Two univariate trend-cycle decomposition methodologies, the Beveridge-Nelson (BN)...

Several recent studies have used multivariate unobserved components models to identify the output gap and the non-accelerating inflation rate of unemployment. A key assumption of these models is that one common cycle component, such as the output gap, drives the cyclical fluctuations in all...

This paper uses the multivariate unobserved components model with phase shifts to analyse the interaction of interest rates, output, asset prices and credit in the US. We find close linkages amongst cyclical fluctuations in the variables.