A unified approach for jointly estimating the business and financial cycle, and the role of financial factors
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Publication:2115975
DOI10.1016/J.JEDC.2022.104315OpenAlexW3183029691MaRDI QIDQ2115975FDOQ2115975
Authors: Tino Berger, Julia Richter, Benjamin Wong 
Publication date: 15 March 2022
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/232064
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Cites Work
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- A state-space approach to calculating the Beveridge-Nelson decomposition.
- Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
- On the credit-to-GDP gap and spurious medium-term cycles
- The Oxford handbook of Bayesian econometrics
- Testing for time variation in an unobserved components model for the U.S. economy
- U.S. monetary policy and the global financial cycle
Cited In (5)
- Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation
- Narrative Restrictions and Proxies
- Real and financial cycles: estimates using unobserved component models for the Italian economy
- Nowcasting the output gap with shadow rates
- Financial factors in the business cycle of a small open economy: the case of Korea
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