Time-Series Variation in Factor Premia: The Influence of the Business Cycle

2019 ◽  
Author(s):  
Christopher Polk ◽  
Mo Haghbin ◽  
Alessio de Longis
Keyword(s):  
Time Series ◽  
Business Cycle ◽  
The Business Cycle

Reforming the Labour Market in Good and Bad Times

2018 ◽  
Author(s):  
Britta Gehrke ◽  
Enzo Weber
Keyword(s):  
Time Series ◽  
Business Cycle ◽  
Labour Market ◽  
Markov Switching ◽  
Matching Theory ◽  
Market Reforms ◽  
Structural Reforms ◽  
Labour Market Reforms ◽  
Short Run ◽  
The Business Cycle

This chapter discusses how the effects of structural labour market reforms depend on whether the economy is in expansion or recession. Based on an empirical time series model with Markov switching that draws on search and matching theory, we propose a novel identification of reform outcomes and distinguish the effects of structural reforms that increase the flexibility of the labour market in distinct phases of the business cycle. We find in applications to Germany and Spain that reforms which are implemented in recessions have weaker expansionary effects in the short run. For policymakers, these results emphasize the costs of introducing labour market reforms in recessions.

scholarly journals Labor Market Indicator for Colombia

2021 ◽  
pp. 1-32
Author(s):  
Deicy J. Cristiano-Botia ◽  
Manuel Dario Hernandez-Bejarano ◽  
Mario A. Ramos-Veloza
Keyword(s):  
Time Series ◽  
Labor Market ◽  
Business Cycle ◽  
Unemployment Rate ◽  
Economic Activity ◽  
Growth Cycle ◽  
Current State ◽  
The Business Cycle ◽  
Market Indicator

Although the unemployment rate is traditionally used to diagnose the current state of the labor market, this indicator does not reflect the existence of asymmetries, mobility costs, and rigidities which impede labor to freely flow over the business cycle. Thus, to get a better portrait of the momentum, we construct the Labor Market Indicator (LMI) focusing on the cyclical similarities of eighteen time series from the Colombian household, industrial, and opinion surveys between 2001 and 2019. Our indicator summarizes the growth cycle of the labor market and its evolution is closely related to the output and unemployment GAP. This indicator is useful for policy analysis as it is useful to forecast headline inflation, it also complements the diagnosis of the current momentum of the labor market, the general economic activity, and the characterization of economic phases and turning points.

scholarly journals Measuring the Business Cycle Chronology with a Novel Business Cycle Indicator for Germany

2021 ◽  
Author(s):  
Agnieszka Gehringer ◽  
Thomas Mayer
Keyword(s):  
Principal Component Analysis ◽  
Time Series ◽  
Gross Domestic Product ◽  
Business Cycle ◽  
Economic Activity ◽  
Principal Component ◽  
Economic Time Series ◽  
Economic Time ◽  
The Business Cycle ◽  
Cycle Indicator

AbstractThis paper introduces a Business Cycle Indicator to compile a transparent and reliable chronology of past business cycle turning points for Germany. The Indicator is derived applying the statistical method of Principal Component Analysis, based on information from 20 economic time series. In this way, the Business Cycle Indicator grasps the development of the broader economic activity and has several advantages over a business cycle assessment based on quarterly series of Gross Domestic Product.

Nonparametric Band Business Cycle Clock

2016 ◽  
Vol 63 (4) ◽  
pp. 375-390
Author(s):  
Łukasz Lenart ◽  
Mateusz Pipień
Keyword(s):  
Phase Diagram ◽  
Time Series ◽  
Business Cycle ◽  
Almost Periodic Function ◽  
Almost Periodic ◽  
Seasonal Fluctuations ◽  
Period Function ◽  
Business Fluctuations ◽  
Trend Component ◽  
The Business Cycle

We discuss representation of uncertainty in the business cycle clock. We propose approach utilising description of the unconditional mean of the process, applied for modelling dynamics of macroeco-nomic time series, as a trend component and almost period function in a non-parametric setting. We capture the dynamics over the business cycle, trend component and seasonal fluctuations and possible interactions between these features. A particular values of the almost periodic function are key for representation of the business cycle in a clock, expressing the dynamics according to phase diagram. The set of frequencies interpreted as a properties of the business fluctuations are invariant with respect to filtration methods applied in the procedure.

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