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Citations for "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'"

by Beveridge, Stephen & Nelson, Charles R.

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  1. Jonathan Temple & Cliff Attfield, 2004. "Measuring trend growth: how useful are the great ratios?," Money Macro and Finance (MMF) Research Group Conference 2003 101, Money Macro and Finance Research Group.
  2. Athanasios Orphanides & Simon Van_Norden, 2000. "The Reliability of Output Gap Estimates in Real Time," Econometric Society World Congress 2000 Contributed Papers 0768, Econometric Society.
  3. Toshihiro Ihori & Takero Doi & Hiroki Kondo, 2000. "Japanese Fiscal Reform: Fiscal Reconstruction and Fiscal Policy," CIRJE F-Series CIRJE-F-83, CIRJE, Faculty of Economics, University of Tokyo.
  4. Alfredo García Hiernaux & David Esteban Guerrero Burbano, 2015. "Price-Level Convergence in the Eurozone," Documentos de Trabajo del ICAE 2015-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  5. Mark Aguiar & Gita Gopinath, 2008. "Emerging Market Fluctuations: The Role of Interest Rates and Productivity Shocks," Central Banking, Analysis, and Economic Policies Book Series, in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmidt- (ed.), Current Account and External Financing, edition 1, volume 12, chapter 9, pages 345-367 Central Bank of Chile.
  6. Joon Y. Park, 2000. "Bootstrap Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 1587, Econometric Society.
  7. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193, CPB Netherlands Bureau for Economic Policy Analysis.
  8. Pojanart Sunirand, 2003. "The role of money in the transmission mechanism of monetary policy: evidence from Thailand," LSE Research Online Documents on Economics 24850, London School of Economics and Political Science, LSE Library.
  9. Enders, Walter & Hurn, Stan, 2002. "Asymmetric price adjustment and the Phillips curve," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 395-412, September.
  10. Zhang, Chengsi & Murasawa, Yasutomo, 2012. "Multivariate model-based gap measures and a new Phillips curve for China," China Economic Review, Elsevier, vol. 23(1), pages 60-70.
  11. AKA, Bédia F., 2009. "Business Cycle And Sectoral Fluctuations: A Nonlinear Model For Côte D’Ivoire," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 9(1), pages 111-126.
  12. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
  13. Timothy Cogley, . "How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth," Working Papers 2133301, Department of Economics, W. P. Carey School of Business, Arizona State University.
  14. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel Vector Autoregressive Models: A Survey," CEPR Discussion Papers 9380, C.E.P.R. Discussion Papers.
  15. Joël CARIOLLE, 2012. "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers I14, FERDI.
  16. King, Thomas B. & Morley, James, 2007. "In search of the natural rate of unemployment," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 550-564, March.
  17. Ramon A. CASTILLO PONCE & Ramon de Jesus RAMIREZ ACOSTA, 2008. "Economic Integration In North America," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(2), pages 111-122.
  18. Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds," NBER Technical Working Papers 0106, National Bureau of Economic Research, Inc.
  19. Cochrane, John H., 1994. "Shocks," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 295-364, December.
  20. Frederic Dufourt, 2000. "Dynamic Properties of the New Neoclassical Synthesis Model of Business Cycle," Econometric Society World Congress 2000 Contributed Papers 0389, Econometric Society.
  21. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2009. "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Fucape Working Papers 15, Fucape Business School.
  22. Michael Kiley, 2010. "Output gaps," 2010 Meeting Papers 266, Society for Economic Dynamics.
  23. L. Sahely & R. Darius & O. Williams, 2001. "Terms of trade shocks and the current account in a unified currency area," Journal of International Development, John Wiley & Sons, Ltd., vol. 13(8), pages 1179-1188.
  24. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
  25. John Y. Campbell & N. Gregory Mankiw, 1987. "Permanent and Transitory Components in Macroeconomic Fluctuations," NBER Working Papers 2169, National Bureau of Economic Research, Inc.
  26. Dave Reifschneider & William Wascher & David Wilcox, 2015. "Aggregate Supply in the United States: Recent Developments and Implications for the Conduct of Monetary Policy," IMF Economic Review, Palgrave Macmillan, vol. 63(1), pages 71-109, May.
  27. Fatás, Antonio & Mihov, Ilian, 2013. "Recoveries," CEPR Discussion Papers 9551, C.E.P.R. Discussion Papers.
  28. Massmann, Michael & Mitchell, James, 2003. "Reconsidering the evidence: Are Eurozone business cycles converging," ZEI Working Papers B 05-2003, University of Bonn, ZEI - Center for European Integration Studies.
  29. Carlos J. García & Andrés Sagner, 2011. "Crédito, Exceso de toma de Riesgo, Costo de Crédito y ciclo Económico en Chile," Working Papers Central Bank of Chile 645, Central Bank of Chile.
  30. Shah Hussain, 2009. "Misalignment of Real Exchange Rate with its Equilibrium Path: Case of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 5, pages 1-14.
  31. Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994. "Targeting the real exchange rate: Theory and evidence," MPRA Paper 13412, University Library of Munich, Germany.
  32. Yuelin Liu & James Morley, 2013. "Structural Evolution of the Postwar U.S. Economy," Discussion Papers 2013-15, School of Economics, The University of New South Wales.
  33. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
  34. George, Thomas J & Hwang, Chuan-Yang, 2001. "Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing," Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 979-1020.
  35. Reinhart, Carmen & Talvi, Ernesto, 1998. "Capital flows and saving in Latin America and Asia: A reinterpretation," MPRA Paper 13704, University Library of Munich, Germany.
  36. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July.
  37. Chan, Kenneth S. & Lai, Jennifer T. & Yan, Isabel K.M., 2014. "Consumption risk sharing and self-insurance across provinces in China: 1952–2008," China Economic Review, Elsevier, vol. 30(C), pages 66-85.
  38. Schlepper, Kathi, 2016. "High-frequency trading in the Bund futures market," Discussion Papers 15/2016, Deutsche Bundesbank, Research Centre.
  39. C. L. Chua & G. C. Lim & Sarantis Tsiaplias, 2009. "A Latent Variable Approach to Forecasting the Unemployment Rate," Melbourne Institute Working Paper Series wp2009n19, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  40. Spencer D. Krane, 2011. "Professional Forecasters' View of Permanent and Transitory Shocks to GDP," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 184-211, January.
  41. Olaf Posch & Klaus Wälde, 2006. "Natural volatility, welfare and taxation," Working Papers 2007_33, Business School - Economics, University of Glasgow.
  42. Aderbal Oliveira Damasceno & Flávio Vilela Vieir, 2014. "Desalinhamento Cambial, Volatilidade Cambial E Crescimento Econômico: Uma Análise Para A Economia Brasileira (1995-2011)," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 100, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  43. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute.
  44. Attfield, Cliff & Temple, Jonathan R.W., 2010. "Balanced growth and the great ratios: New evidence for the US and UK," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 937-956, December.
  45. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008. "Inflation-Gap Persistence in the U.S," NBER Working Papers 13749, National Bureau of Economic Research, Inc.
  46. M. Dungey & J. P. A. M. Jacobs & J. Tian & S. van Norden, 2013. "On the correspondence between data revision and trend-cycle decomposition," Applied Economics Letters, Taylor & Francis Journals, vol. 20(4), pages 316-319, March.
  47. Joseph G. Haubrich & Andrew W. Lo, . "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 05-89, Wharton School Rodney L. White Center for Financial Research.
  48. Dean Croushore & Tom Stark, 2003. "A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter?," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 605-617, August.
  49. Kozicki, Sharon & Tinsley, P A, 1998. "Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts," Computational Economics, Society for Computational Economics, vol. 11(1-2), pages 21-40, April.
  50. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  51. Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  52. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
  53. Nicholas Sander, 2013. "Fresh perspectives on unobservable variables: Data decomposition of the Kalman smoother," Reserve Bank of New Zealand Analytical Notes series AN2013/09, Reserve Bank of New Zealand.
  54. Taylor Mark P. & Sarno Lucio, 2001. "Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-26, October.
  55. Fasen, Vicky & Fuchs, Florian, 2013. "On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 229-273.
  56. Alemu, Zerihun Gudeta & Oosthuizen, Klopper & van Schalkwyk, Herman D., 2003. "Is Increased Instability In Cereal Production In Ethiopia Caused By Policy Changes?," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25892, International Association of Agricultural Economists.
  57. Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005. "The welfare cost of macroeconomic uncertainty in the post-war period," Economics Working Papers (Ensaios Economicos da EPGE) 605, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  58. Ashley, Richard & Verbrugge, Randal, 2015. "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Paper 1530, Federal Reserve Bank of Cleveland.
  59. Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Research Working Paper RWP 11-16, Federal Reserve Bank of Kansas City.
  60. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
  61. Julio J. Rotemberg & Michael Woodford, 1998. "Interest-Rate Rules in an Estimated Sticky Price Model," NBER Working Papers 6618, National Bureau of Economic Research, Inc.
  62. Ahmed, Shamim & Valente, Giorgio, 2015. "Understanding the price of volatility risk in carry trades," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 118-129.
  63. Timothy Cogley, 1998. "Alternative definitions of the business cycle and their implications for business cycle models: a reply to Torben Mark Pederson," Working Papers in Applied Economic Theory 98-08, Federal Reserve Bank of San Francisco.
  64. Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  65. Michael Batuo Enowbi & Francesco Guidi & Kupukile Mlambo, 2010. "Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries," The African Finance Journal, Africagrowth Institute, vol. 12(Conferenc), pages 1-26.
  66. Rodríguez, Gabriel, 2010. "Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru," Review of Applied Economics, Review of Applied Economics, vol. 6(1-2).
  67. Luis Uzeda, 2016. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," ANU Working Papers in Economics and Econometrics 2016-632, Australian National University, College of Business and Economics, School of Economics.
  68. Krichene, Noureddine, 2002. "World crude oil and natural gas: a demand and supply model," Energy Economics, Elsevier, vol. 24(6), pages 557-576, November.
  69. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
  70. Pamphile MEZUI-MBENG, 2012. "Cycle Du Credit Et Cycle Des Affaires Dans Les Pays De La Cemac," Cahiers du CEREFIGE 1202, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
  71. Basistha, Arabinda & Kurov, Alexander, 2010. "Estimating earnings trend using unobserved components framework," Economics Letters, Elsevier, vol. 107(1), pages 55-57, April.
  72. Nucci, Francesco & Pozzolo, Alberto Franco, 2012. "Exchange Rate, External Orientation of Firms and Wage Adjustment," Economics & Statistics Discussion Papers esdp12066, University of Molise, Dept. EGSeI.
  73. Karim Barhoumi & Reda Cherif & Nooman Rebei, 2016. "Stochastic Trends, Debt Sustainability and Fiscal Policy," IMF Working Papers 16/59, International Monetary Fund.
  74. Dunne, Peter G., 2000. "A generalised Bayesian model of market microstructure behaviour applied to the market in Irish government securities," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 369-388.
  75. Leonardo Gambacorta, 2005. "How Do Banks Set Interest Rates?," Temi di discussione (Economic working papers) 542, Bank of Italy, Economic Research and International Relations Area.
  76. Kedia, Simi & Zhou, Xing, 2011. "Local market makers, liquidity and market quality," Journal of Financial Markets, Elsevier, vol. 14(4), pages 540-567, November.
  77. Chang-Jin Kim & Pym Manopimoke & Charles R. Nelson, 2013. "Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve," Discussion Paper Series 1305, Institute of Economic Research, Korea University.
  78. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, . "La tasa de cambio Real en Colombia. ¿Muy Lejos del Equilibrio?," Borradores de Economia 337, Banco de la Republica de Colombia.
  79. Laurence Ball & Dean Croushore, 1995. "Expectations and the Effects of Monetary Policy," NBER Working Papers 5344, National Bureau of Economic Research, Inc.
  80. Timothy Cogley, 1997. "Evaluating non-structural measures of the business cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 3-21.
  81. Francis W. Ahking & Stephen M. Miller, 1988. "Models of Business Cycles: A Review Essay," Eastern Economic Journal, Eastern Economic Association, vol. 14(2), pages 197-202, Apr-Jun.
  82. Fernando Alvarez & Urban J. Jermann, 2005. "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, Econometric Society, vol. 73(6), pages 1977-2016, November.
  83. Hassan Mohammadi & Daniel Rich, 2013. "Dynamics of Unemployment Insurance Claims: An Application of ARIMA-GARCH Models," Atlantic Economic Journal, International Atlantic Economic Society, vol. 41(4), pages 413-425, December.
  84. Gustavo A. Marrero, 2004. "Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment," Documentos de Trabajo del ICAE 0410, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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  88. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute.
  89. Richard Kleijn & Herman K. van Dijk, 2001. "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers 01-105/4, Tinbergen Institute.
  90. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.
  91. Amy Guisinger & Ruben Hernandez-Murillo & Michael Owyang & Tara Sinclair, 2015. "A State-Level Analysis of Okun's Law," Working Papers 2015-17, The George Washington University, Institute for International Economic Policy.
  92. Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  93. Gómez-Sorzano, Gustavo, 2006. "Decomposing violence: terrorist murder and attacks in New York State from 1933 to 2005," MPRA Paper 3776, University Library of Munich, Germany, revised 01 Jul 2007.
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  96. Shirvani, Hassan & Wilbratte, Barry, 2007. "The permanent-transitory decomposition of the stock markets of the G7 countries: A multivariate approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 352-365, May.
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  100. Erdos, Péter & Ormos, Mihály, 2010. "Random walk theory and the weak-form efficiency of the US art auction prices," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1062-1076, May.
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  102. Twm Evans & David McMillan, 2007. "Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1421-1430.
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  108. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
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