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Author:Wesche, Katrin 

Working Paper
European business cycles: new indices and analysis of their synchronicity

This article presents a new type of business-cycle index that allows for cycle-to-cycle comparisons of the depth of recessions within a country, cross-country comparisons of business-cycle correlation and simple aggregation to arrive at a measure of a European business cycle. The paper examines probit-type specifications of binary recession/expansion variables in a Gibbs-sampling framework, wherein it is possible to incorporate time-series features to the model, such as serial correlation, heteroskedasticity and regime switching. The data-augmentation implied by Gibbs sampling generates ...
Working Papers , Paper 1999-019

Working Paper
Forecasting macro variables with a Qual VAR business cycle turning point index

One criticism of VAR forecasting is that macroeconomic variables tend not to behave as linear functions of their own past around business cycle turning points. This article investigates the methods and efficacy of forecasting with a VAR that expands the information set to include dynamic forecasts of a qualititative variable - business cycle turning points. We apply this Qual VAR model to five of the G7 economies and find that the Qual VAR improves on forecasts from standard models, both for the qualitative variable and for macroeconomic data, such as industrial production. The improvement in ...
Working Papers , Paper 2001-019

Journal Article
The demand for divisia money in a core monetary union

Proponents of an aggregation theoretic approach to money demand argue that simple-sum measures do not capture the theoretical notion of money, especially for broad monetary aggregates. European monetary aggregation, which uses indices for monetary services, seems attractive because these indices can account for the imperfect substitutability between different currencies. In this article, Katrin Wesche applies the aggregation theoretic framework to money holdings of European residents and compares the resulting index to simple-sum M3. She concludes that the Divisia index of European monetary ...
Review , Issue Sep , Pages 51-60

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