Business Cycle and Common Trend Components
Some Reflections on Trend-Cycle Decompositions with Correlated Components
... from trend-cycle decomposi- tions with correlated ...correlated components may originate from: underestimation of the cyclical component; a cycle in growth rates, rather than in the levels; ...
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Crude oil price changes: Common trend and common cycle features
... Furthermore, the slowdown of the economic growth in the two major crude oil consuming nations, US and China, as well as stronger US dollar created downward pressure on demand for crude oil. Oil price fall was not alone, ...
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Emerging Market Business Cycles: The Cycle is the Trend
... market business cycles 71 In an environment in which agents have information regarding the persistence of the shock and respond in an optimizing manner, the behavior of macroeconomic aggregates such as ...
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Emerging Market Business Cycles: The Cycle is the Trend
... A major challenge to models of emerging markets is explaining the large current account reversals observed in the data, the so-called “sudden stops”. We can explore how well our model does in replicating such phenomena ...
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Trend & Cycle Roadmap
... Disclaimer The information contained in this report has been compiled by RBC Wealth Management, a division of RBC Capital Markets, LLC, from sources believed to be reliable, but no representation or warranty, express or ...
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Trend & Cycle Roadmap
... Disclaimer The information contained in this report has been compiled by RBC Wealth Management, a division of RBC Capital Markets, LLC, from sources believed to be reliable, but no representation or warranty, express or ...
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Business Cycles With A Common Trend in Neutral and Investment-Specific Productivity
... stochastic trend can be fulfilled either by assuming that each productivity process contains an independent stochastic trend or by assuming that the two series share a single stochastic ...a common ...
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Evidence on Common Feature and Business Cycle Synchronization in Mercosur
... The degree of association among contemporaneous movements may be mea- sured through the pairwise linear correlation as reported in Table 6 for p = 1, 2, 3. We can observe for p = 1 that Paraguay and Uruguay have a high ...
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Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
... uncorrelated components, the common and the idiosyncratic. The common component is driven by a small number of factors common to all variables but possibly loaded with different lag ...
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Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?
... both common shocks and common transmission mechanisms explain business cy- cle comovements for the G-7 ...Yet, common shocks are only a necessary but not su¢cient condition for generating ...
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Business cycle comovement in the G-7: common shocks or common transmission mechanisms?
... There is clear evidence of four global factors, driving real output growth, oil price growth, real stock market returns, and the block of nominal variables (money growth, in‡ation, and interest rates) in all regions. The ...
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On the Correlations of Trend Cycle Errors
... Keywords: Trend-Cycle Decomposition, Unit-root, Maximum ...the trend-cycle decomposition of economic time series data is implemented through a state- space (or unobserved components, ...
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A trend-cycle(-season) filter
... seasonal components in the high-frequency range of the ...the trend is not perfect: Figure 2 shows that the gain obtains small positive values in the high- frequency ...the cycle and the ...
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Trend and Cycle in Bond Premia
... The standard approach to explaining predictability patterns (that is, changes in E t R e t+1 ) assumes that the first component is zero and that changes in risk assessment move around risk premia. Our findings call for a ...
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Trend and cycle in bond premia
... Figure 4 plots subjective premia on the two bonds together with the respective CP measures as well as the statistical premia from the state space system. The properties from the table are also visible to the naked eye. ...
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Long-run trend, Business Cycle & Short-run shocks in real GDP
... self-feeding business cycles, ...long-run trend, business cycles, and short-run shocks to the economy, which can be separated from each other by using statistical ...above-mentioned ...
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Long run trend, Business Cycle & Short run shocks in real GDP
... self-feeding business cycles, ...long-run trend, business cycles, and short-run shocks to the economy, which can be separated from each other by using statistical ...above-mentioned ...
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The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle
... of business cycle asymmetry is the model identifying? The parameters of the permanent and transitory components unique to the recession state, ( µ 1 − µ 0 ) and τ , suggest differing dynamics in ...
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Common Macroeconomic Shocks and Business Cycle Fluctuations in Euro Area Countries
... It is worth stressing that an important implication of this approach is that each member country is subject to the same area-wide macroeconomic shocks. A conclusion of homogeneous effects exerted by common monetary ...
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Voting and the macroeconomy: separating trend from cycle
... between cycle and trend as argued for ...economic trend and cycle would not be necessary were economic business cycles more short-lived events than they actually ...that business ...
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