This article investigates the possible business cycle linkages between CEECs (Central and Eastern\ud
European countries) that were candidates to enter the EMU and the euro area for the period 1993 to\ud
2014. We analyse business cycle (a)symmetries for these countries by using Markov switching\ud
autoregressive models and synchronization tests. By analysing the correlations between the cyclical\ud
fluctuations for these countries, we examine the existence of common features between the individual\ud
cycles. By distinguishing between different regimes, we show that the indications of\ud
business cycle synchronization are quite high in the recession regime, but lower in the normal\ud
and high growth regimes, with the exceptions of Hungary and Poland
In this article, we investigate the Beveridge curve dynamics in the USA and Italy by means of a cointegrated structural VAR model. A simple economic model is introduced to motivate the identifying assumptions of the empirical analysis. A stable long-run relationship is found for both countries. In order to study the dynamic behaviour of the model, and to decompose unemployment and vacancy fluctuations, we identify three common stochastic trends. The empirical results suggest that there are some sources of hysteresis in unemployment in both countries. Transitory shocks are also identified to account for the short-run dynamics of the model. The approach allows us to detach the long-run from the short-run dynamics, in order to provide information on the cyclical and structural Beveridge curve.
We asked a representative sample of European banks to judge messages released by ECB members (from February 1999 to February 2000) in terms of their ambiguity. In this paper, we use our survey to derive a definition of ambiguity and to evaluate ECB communication. A Structural Vector Autoregression model is estimated and the results show that ambiguous messages were able to affect agents’ expectations for a limited period after a speech by ECB members; moreover, they show that ambiguity had temporary effects also on volatility and moved rates away from the policy rate
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