A unified approach for jointly estimating the business and financial cycle, and the role of financial factors

DOI10.1016/J.JEDC.2022.104315OpenAlexW3183029691MaRDI QIDQ2115975FDOQ2115975

Benjamin Wong, Julia Richter, Tino Berger

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

zbMATH Keywords

business cyclefinancial shocksfinancial cycle

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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 (3)

• Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation
• Narrative Restrictions and Proxies
• Nowcasting the output gap with shadow rates

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