In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald band-pass .lter is employed to isolate the cycle using the de.nition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The main advantage of...

In this paper the business cycles of nine OECD-countries are identified by applying the Christiano-Fitzgerald bandpass filter. Turning points, recession and expansion phases and other descriptive statistics are derived from these business cylce indicators. Moreover, the international linkage...

Formal testing and estimation of nonlinear relations require a substantial number of observations which are typically lacking in annual models. In this paper, a novel two-step procedure is introduced to model nonlinearities in yearly asset-price based leading indicator models for growth. In the...

This report presents leading indicators of real gdp-growth for the United States, Japan and 7 EU member countries. These indicators make use of business cycle indicators developed at the Bank, together with information contained in financial and monetary variables like the yieldcurve, the money...

This paper applies large scale factor models to Dutch quarterly data in order to generate forecasts of GDP growth rates for an horizon up to 8 quarters ahead. The data set consists of the series underlying the cen- tral bank´s macroeconomic structural model for the Netherlands sup- plemented...

Traditional unobserved component models assume that the trend, cycle and seasonal components of an individual time series evolve separately over time. Although this assumption has been relaxed in recent papers that focus on trend-cycle interactions, it remains at the core of all seasonal...

We provide new insights on the formation of inflation expectations - in particular at a time of great financial and economic turmoil - by evaluating results from a survey conducted from July 2009 through July 2010. Participants in this survey answered a weekly questionnaire about their short-,...

For the classification of industries within a certain country on the basis of their comparative trade advantage or trade disadvantage it is common practise to use the Balassa index. If the value of this index exceeds 1, the concomitant industry is thought to have a comparative trade advantage....

In this paper, a new method is introduced to predict currency crises. The method models a continuous crisis index, based on depreciations and reserve losses. The fact that during currency crises, the behaviour of market participants differs from normal circumstances is modelled by means of model...

Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend...