A univariate first order stochastic cycle can be represented as an element of a bivariate first order vector autoregressive process, or VAR(1), where the transition matrix is associated with a Givens rotation. From the geometrical viewpoint, the kernel of the cyclical dynamics is described by a...

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

We address the problem of selecting the common factors that are relevant for forecasting macroeconomic variables. In economic forecasting using diffusion indexes the factors are ordered, according to their importance, in terms of relative variability, and are the same for each variable to...

The chapter deals with parametric models for the measurement of the business cycle in economic time series. It presents univariate methods based on parametric trend{cycle decom- positions and multivariate models featuring a Phillips type relationship between the output gap and inflation and the...

This study is to empirically investigate the effect of real wages on productivity in Malaysia using monthly data from January 1983 to November 2009. The Johansen’s test suggests that wages and productivity are cointegrated. Moreover, productivity and real wages have a quadratic relationship in...

This study is to empirically investigate the effect of real wages on labour productivity in Malaysia’s manufacturing sector using annual data from 1980 to 2009. The Johansen’s test suggests that real wages and labour productivity are cointegrated. Moreover, productivity and real wages have a...

This paper investigates the empirical relationship between labor productivity, real wages and real GDP in Singapore from 1997 to 2011. The paper begins with a review of productivity, wage and growth situations in Singapore in the past decade and further attempts to uncover the underlying...

Economists have long been studying the shares of labour and capital in income. Surprisingly, no such empirical studies exist for Australia. This paper looks at a number of variables that can affect labour’s share in income: unemployment, capacity utilisation, growth rate of GDP and changes in...

The study investigates the relationships between the labour share of income and several macroeconomic variables – the GDP growth, inflation, unemployment, as well as GDP gap and capacity utilization – in industrialised economies between 1960 and the 2010s. Three complementary hypotheses that...