This discussion paper led to a publication in the <I>Journal of Applied Econometrics</A>. Vol. 19, issue 5, pages 611-636.<P> Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with...</p></i>

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

This discussion paper resulted in an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2008). Vol. 70 issue 1, pages 23-51.<P> This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series...</p></i>

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markov switching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...

This discussion paper resulted in a publication in the <A href="https://apps.webofknowledge.com/full_record.do?product=UA&search_mode=GeneralSearch&qid=5&SID=T2lPmvB33HytcbnHQmV&page=1&doc=2">'IMF Economic Review'</A>, 2014, 62(2), 261-287.<P> We analyse the impact of interactions between monetary and fiscal policy on macroeconomic stability. We find that in the presence of sovereign default beliefs a monetary policy, which aims to...</p></a>

Blanchard (2005) suggested that active interest rate policy might induce unstable dynamics in highly-indebted economies. We examine this in a dynamic general equilibrium model where Calvo-type price rigidities provide a rationale for inflation stabilization. Unstable dynamics can occur when the...

We present a multi-country theory of economic growth in which countries are connected by a network of mutual knowledge exchange. Growth is generated through human capital accumulation and knowledge externalities. The available knowledge in any country depends on its connections to the rest of...

We decompose capital flows--both debt and equity--into public and private components and study their relationship with productivity growth. This exercise reveals that international capital flows are mainly shaped by government decisions and sovereign to sovereign transactions. Specifically, we...

We develop a Heckscher-Ohlin-Ramsey model, combining dual techniqueswith classic geometric techniques fromtrade theory. This framework is used to explore the long-run generalequilibrium effects of regional integration(preferential trade agreements). Emphasis is placed on positivemechanics...