Growth and Cycle in the Eurozone

This book presents recent theoretical and empirical advances on business cycles analysis with particular attention to Euro-zone characteristics. It also identifies applications of sophisticated tools by private and public institutions involved in the analysis of economic fluctuations and seeks to increase interaction between the academics, researchers and institutions in the area of business cycle analysis. This volume encompasses methodological advances in several important areas for business cycle analysis, such as multivariate statistical methods, synchronization and convergence, composite indicators, turning points dating and detection, output gap measurement, as well as innovative applications of the existing theories and methods to the economy of the Euro-zone.

CONTENTS PART 1: BUSINESS CYCLE AND OFFICIAL STATISTICS Official Statistics for Business Cycle Analysis; G.L.Mazzi & G.Savio PART 2: MULTIVARIATE STATISTICAL METHODS AND RECENT ADVANCES IN BUSINESS CYCLE ANALYSIS Bayesian Inference on Dynamic Models with Latent Factors; M.Billio, R.Casarin & D.Sartore Output Fluctuations in G7 Countries: A Time-scale Decomposition Analysis; M.Crivellini, M.Gallegati, M.Gallegati & A.Palestrini Trend Estimation, Signal-noise Ratios and the Frequency of Observations; A.C.Harvey & T.M.Trimbur Bayes Estimates of the Cyclical Component in Twentieth Century US Gross Domestic Product; A.C.Harvey, T.M.Trimbur & H.K.van Dijk The Extent of Seasonal/Business Cycle Interactions in European Industrial Production; D.R.Osborn & A.Matas-Mir PART 3: SYNCHRONIZATION AND CONVERGENCE Interacting Two-country Business Fluctuations: Euroland and the USA; T.Asada, C.Chiarella, P.Flaschel & R.Franke How Does the Eurozone Respond to Shocks? A Common Trends and Common Cycles Analysis; R.Astolfi How Similar are European Business Cycles?; M.U.Bergman A Nonparametric Analysis of International Business Cycles; M.Bovi Measuring the Sources of Cyclical Fluctuations in the G7 Economies; M.Centoni, G.Cubadda & A.Hecq Synchronisation of National Business Cycles in Europe?; G.Flaig, J-E.Sturm & U.Woitek Modelling the Dynamic Convergence of Business Cycles; M.Lemoine The Economic Integration of Candidate Countries in the European Union: An Analysis with a Three-level Dynamic Factor Model; M.Marini European Business Cycle Affiliations with the USA; P.J.Perez, D.R.Osborn & M.Sensier VAR Modelling of the Euro-area GDP on the Basis of Principal Component Analysis; N.Sdrakas PART 4: COMPOSITE INDICATORS AND FORECASTING OF ECONOMIC ACTIVITY A Time-Series Disaggregated Model to Forecast GDP in the Eurozone; R.Minguez & A.Espasa Real-time Detection of the Business Cycle using SETAR Models; L.Ferrara & D.Guégan Business Survey Data: Do They Help in Forecasting GDP Growth?; J.Hansson, P.Jansson & M.Löf PART 5: TURNING POINTS DATING AND DETECTION Business Cycle Analysis with Multivariate Markov Switching Models; J.Anas, M.Billio, L.Ferrara & M.Lo Duca A Turning-Point Chronology for the Eurozone; J.Anas, L.Ferrara, M.Billio, M.Lo Duca Basic Characteristics of the Euro-area Business Cycle; A.Musso PART 6: OUTPUT GAP MEASUREMENT Stability Analysis in ARMA and Unobserved Component Models; J.Del Hoyo Bernat & J.L.Cenejas Bueno Simultaneous Determination of NAIRU, Output Gaps and Structural Budget Balances; G.Hjelm Density Estimates for Real-time Eurozone Output Gap Estimates; J.Mitchell Optimal Bandpass Filtering and the Reliability of Current Analysis; S.van Norden PART 7: MONETARY POLICY AND BUSINESS CYCLES Monetary and Fiscal Policy Transmission in the Euro-area: Evidence from a Structural VAR Analysis; B.van Aarle, H.Garretsen & N.Gobbin Business Cycle Fluctuations in the Euro-area; N.Cassola & C.Morana Measuring the 'Financing Gap' of European Corporations: An Update; F.Galizia The 'Savings Gap' of European Corporations: A First Look at the Available Data; F.Galizia with T.Steinberger Explaining the Time-varying NAIRU in the Euro-area; C.Logeay & S.Tober Asymmetries and Credibility in Monetary Policy of Euro-area; K.Mouratidis