In this paper a dynamic bi-factor model with Markov-switching is developed to measure and predict turning points. Both common factors, namely composite leading index (CLI) and composite coincident index (CCI) respectively, have their own cyclical dynamics, and their lead-lag relationships are reflected in the transition probabilities matrix. The model is applied to four coincident and four selected ...
The decline in output volatility in Germany is analysed. A lower level of variance in an autoregressive model of output growth can be either due to a change in the structure of the economy (a change in the propagation mechanism) or a reduced error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of the growth process. This is in contrast ...
Reliable information on small and medium sized enterprises (SMEs) is rare and costly for financial intermediaries. To compensate for this, relationship banking is often considered as the appropriate lending technique in the case of SMEs. In this paper we offer a theoretical model to analyze the pricing behavior of banks in a Bertrand competition framework with monitoring costs. We show that the lack ...
This paper addresses the issue of estimating and forecasting productivity growth trends in the US and Germany from the perspective of a business cycle researcher who wants to use the available information in time series of aggregate labor productivity to derive a model for short- and/or long-term forecasts of labour productivity. We will use stability tests and a deterministic model with structural ...
Much progress has been made in recent years on developing and applying a direct measure of utility using survey questions on subjective well-being. In this paper we explore whether this new type of measurement can be fruitfully applied to the study of interdependent utility in general, and altruism between parents and children in particular. We introduce an appropriate econometric methodology and, ...
