Catálogo de publicaciones - libros

The paper proposes a set of monthly business (growth-) cycle indicators for Germany, France, Italy and the euro area useful for characterization of the cycle, and, most importantly, to assess the current economic outlook. These indicators are projections of quarterly aggregates on the space spanned by a set of regressors extracted from a large panel of monthly series. Being based on static linear combinations of monthly series, they do not suffer from the end-of-sample problem associated with traditional bilateral filters (HP filter). The indicators are used to: (1) study the degree of co-movement and synchronization across economies; (2) derive a dating of the cycle; (3) obtain the ‘stylized’ cyclical facts; (4) assess the predictive content of the panel for GDP growth. The monthly indicators are good forecasters of GDP performing often better than other simple methods. As expected, since the growth cycle indicator is a ‘smoothed’ estimate of the GDP growth, the best forecasts are obtained in terms of year-on-year (rather than quarter-on-quarter) GDP growth.

The paper addresses the issue of synchronisation of economic cycles. While the literature has focused on the supply side, we present evidence from a demand side perspective. Using different measures of correlation both in the time and the frequency domain, we find evidence of a high degree of co-movement between GDP national business cycles. Studying the cyclical properties of demand aggregates, we find similar high values of synchronisation only for import and more recently for export variables. Investment series show intermediate values of correlation while consumption cycles are considerably less synchronised. Estimation of unobserved factor models supports these findings. Furthermore, GDP cycles seem to have become more synchronised over time, reflecting a general increase of correlation coefficients among demand components; the uncertainty surrounding point estimates indicates however that results should be taken only as preliminary.

I’ve covered the basics of what matrices are, how to use them and combine them, and created some pretty cool effects with them in this chapter. Now that you have the concepts in your head, you’re ready to take advantage of the power that matrices can offer, and hopefully won’t shy away from using them when you encounter them in the built-in methods of Flash 8, as you surely will.

I’ve covered the basics of what matrices are, how to use them and combine them, and created some pretty cool effects with them in this chapter. Now that you have the concepts in your head, you’re ready to take advantage of the power that matrices can offer, and hopefully won’t shy away from using them when you encounter them in the built-in methods of Flash 8, as you surely will.

The question as to whether changes in the external environment may have caused the importance of key determinants of German exports to shift since the 1990s is addressed by estimating Germany’s exports to EMU partner countries (intra exports) and to countries outside the euro area (extra exports). Analytically, this is done first by estimating error correction models across different samples. Second, it is tested whether the long-run export behaviour of intra and extra exports has changed since the 1990s. As an initial and tentative result, the impact of price competitiveness on both intra and extra exports appears to have decreased. Finally, simulations are conducted to reconstruct the adjustment process of both intra and extra exports following demand and price shocks.

The paper proposes a set of monthly business (growth-) cycle indicators for Germany, France, Italy and the euro area useful for characterization of the cycle, and, most importantly, to assess the current economic outlook. These indicators are projections of quarterly aggregates on the space spanned by a set of regressors extracted from a large panel of monthly series. Being based on static linear combinations of monthly series, they do not suffer from the end-of-sample problem associated with traditional bilateral filters (HP filter). The indicators are used to: (1) study the degree of co-movement and synchronization across economies; (2) derive a dating of the cycle; (3) obtain the ‘stylized’ cyclical facts; (4) assess the predictive content of the panel for GDP growth. The monthly indicators are good forecasters of GDP performing often better than other simple methods. As expected, since the growth cycle indicator is a ‘smoothed’ estimate of the GDP growth, the best forecasts are obtained in terms of year-on-year (rather than quarter-on-quarter) GDP growth.

The objective of the paper is to investigate to what extent business cycles co-move in Germany, France and Italy. We use a large-scale database of nonstationary series for the euro area in order to assess the effect of common versus idiosyncratic shocks, as well as transitory versus permanent shocks, across countries over the 1980:Q1 to 2003:Q4 period. We apply the methodology proposed by Bai (2004) and Bai and Ng (2004) to construct a coincident indicator of the euro area business cycle to which national developments appear to be increasingly correlated at business cycle frequencies, while more significant differences appear at lower frequencies which measures potential growth. The indicator is also shown to be related to extra euro area economic developments.

The paper analyses the recent supply side developments in France, Germany, and Italy by employing a non-parametric approach to estimate potential GDP. The analysis reveals marked heterogeneity among the three countries with regard to the contribution of labour input. Similarities can be found, however, in the slowdown of capital accumulation and in the pronounced worsening of Total Factor Productivity growth. The paper is complemented by estimates of some measures of wage pressures and profitability in order to assess the role played by the movements of relative input prices in the intensity of use of primary factors in the production process.

This paper discusses the supply conditions for economic growth in terms of potential GDP estimated by the production function approach for France, Germany and Italy. The aim of this study is twofold: first, we keep a consistent framework as regards national accounts institutional sectors. Second, after defining Total Factor Productivity (TFP) in the so-called productive sector from the Solow residual, we specify it in a general framework for the three countries as a function of a time trend corrected for the effects of the age of equipments and the capacity utilisation rate (CUR). This framework allows to distinguish temporal considerations: in the medium to long term, the variables that could generate short to medium term fluctuations in potential output growth are assumed to be stable at a structural level. This implies modifications of the functional specifications related to the time horizon.

The paper addresses the issue of synchronisation of economic cycles. While the literature has focused on the supply side, we present evidence from a demand side perspective. Using different measures of correlation both in the time and the frequency domain, we find evidence of a high degree of co-movement between GDP national business cycles. Studying the cyclical properties of demand aggregates, we find similar high values of synchronisation only for import and more recently for export variables. Investment series show intermediate values of correlation while consumption cycles are considerably less synchronised. Estimation of unobserved factor models supports these findings. Furthermore, GDP cycles seem to have become more synchronised over time, reflecting a general increase of correlation coefficients among demand components; the uncertainty surrounding point estimates indicates however that results should be taken only as preliminary.