This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is...

This paper proposes a Markov-switching framework useful to endogenously identify regimes where economies enter recessionary and expansionary phases synchronously, and regimes where economies are unsynchronized following independent business cycle phases. The reliability of the framework to track...

This paper proposes a probabilistic model based on comovements and nonlinearities useful to assess the type of shock affecting each phase of the business cycle. By providing simultaneous inferences on the phases of real activity and inflation cycles, contractionary episodes are dated and...

This paper estimates and forecasts U.S. business cycle turning points with state-level data. The probabilities of recession are obtained from univariate and multivariate regime-switching models based on a pairwise combination of national and state-level data. We use two classes of combination...

This paper provides early assessments of current U.S. Nominal GDP growth, which has been considered as a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy makers have available at the time predictions are made. However, real time...

This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles. The reliability of...

This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made....

We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyze the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition...

This paper analyzes if each European country presents business cycles that are similar enough to validate what some authors call the European cycle. Contrary to the majority of papers on business cycles, we concentrate on the appearance of the cycle, not on the synchronization. We provide a...

We propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, always trying to "leave the data speak". Out of this framework, we propose a novel method to show that there is no "Euro economy" that acts as an...