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Weissert, Christoffer Jessen - 2024

I present empirical results on the contribution of three key drivers of inflation in Denmark: an inflation trend anchored by inflation expectations; the Danish business cycle; and an energy price cycle. All three drivers contribute significantly to the development of inflation and explain most of...

Persistent link: https://www.econbiz.de/10014563915

Eigenvalue filtering in VAR models with application to the Czech business cycle

Beneš, Jaromír; Vávra, David - 2005

We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents (such as business-cycle or irregular) defined by properties of the underlying eigenvalues. We logically extend the Beveridge-Nelson decomposition of the VAR time-series models focusing on the...

Persistent link: https://www.econbiz.de/10011604595

Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis

Marczak, Martyna; Gómez, Víctor - 2012

This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and … cyclical patterns over time. From the findings of our study, we can infer that the USA and Germany differ with respect to the … lead-lag relationship of real wages and the business cycle. In the USA, both real wages are leading the business cycle in …

Persistent link: https://www.econbiz.de/10010309235

Recent changes in the US business cycle

Chauvet, Marcelle; Potter, Simon - 2001

The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used...

Persistent link: https://www.econbiz.de/10010283318

The increased importance of asset price misalignments for business cycle dynamics

Bask, Mikael; Madeira, João - 2011

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders...

Persistent link: https://www.econbiz.de/10010321374

Multivariate classification of business phases

Weihs, Claus; Röhl, Michael C.; Theis, Winfried - 1999

We propose multivariate classification as a statistical tool to describe business cycles. These cycles are often analyzed as a univariate phenomenon in terms of GNP or industrial net production ignoring additional information in other economic variables. Multivariate classification overcomes...

Persistent link: https://www.econbiz.de/10010316572

Univariate characterization of the German business cycle 1955-1994

Weihs, Claus; Garczarek, Ursula - 2002

We present a descriptive analysis of stylized facts for the German business cycle. We demonstrate that simple ad-hoc instructions for identifying univariate rules characterizing the German business cycle 1955-1994 lead to an error rate comparable to standard multivariate methods.

Persistent link: https://www.econbiz.de/10010316674

Classification of German business cycles using monthly data

Heilemann, Ullrich; Münch, Heinz Josef - 2001

The recent renaissance of business cycle analysis has led to a renewed interest in business cycle classification as pioneered by Burns/Mitchell, Spiethoff and resumed in the seventies by Meyer/Weinberg (1975a, b). The rather successful elaboration and test of a “modern” four-phase...

Persistent link: https://www.econbiz.de/10010316691

Macroeconomic impact on expected default frequency

Åsberg, Per; Shahnazarian, Hovick - 2008

We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...

Persistent link: https://www.econbiz.de/10010320730

Real wages and the business cycles in Germany

Marczak, Martyna; Beissinger, Thomas - 2010

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

Persistent link: https://www.econbiz.de/10010274586