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 offers an insight into the optimality of the European Economic and Monetary Union (EMU) and its common monetary policy by evaluating the degree of business cycle synchronisation among EMU member states. Business cycle turning points for each country are identified from multivariate...

[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)...

This paper analyses the impact of using different macroeconomic variables and output decompositions to estimate the euro area output gap. We estimate twelve multivariate unobserved components models with phase shifts being allowed between individual cyclical components. As output decomposition...

In this paper we study a general framework of American put option with stochastic volatility whose value function is associated with a 2-dimensional parabolic variational inequality with degenerate boundaries. We apply PDE methods to analyze the existences of the strong solution and the...

This paper offers an insight into the optimality of the European Economic and Monetary Union (EMU) and its common monetary policies by evaluating the degree of business cycle synchronisation among the EMU member states with respect to the Eurozone aggregate. Business cycles for each country,...

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...

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.

We estimate a New Keynesian DSGE model for the Euro area under alternative descriptions of monetary policy (discretion, commitment or a simple rule) after allowing for Markov switching in policy maker preferences and shock volatilities. This reveals that there have been several changes in Euro...