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

DOI10.1016/J.JEDC.2022.104315MaRDI QIDQ2115975zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• 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
• Testing for time variation in an unobserved components model for the U.S. economy
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Oxford handbook of Bayesian econometrics
• U.S. monetary policy and the global financial cycle
• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

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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