Maximo Camacho

Jump-and-Rest Effect of U.S. Business Cycles

One of the most familiar empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. The result is extremely robust to different nonlinear alternative models and applies not only to output but also to the most relevant macroeconomic variables.

A Useful Tool to Forecast the Euro-area Business Cycle Phases

Based on a novel extension of existing multivariate Markov-switching models, we provide the reader with a useful tool to analyze current business conditions and to make predictions about the future state of the Euro-area economy in real time. Apart from the Industrial Production Index, we find that the European Commission Industrial Confidence Indicator, that is issued with no delay, is very useful to construct the real-time predictions.

A New Framework to Analyze Business Cycle Synchronization

In this paper, we propose a new framework to analyze pairwise business cycle synchronization across a given set of countries. We show that our approach, that is based on multivariate Markov-switching procedures, leads to more reasonable results than other popular approaches developed in the literature. According to recent findings, we show that the G7 countries seem to exhibit two differentiated “Euro-zone” and “English-speaking” business cycles dynamics.

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