Growth and Cycle in the Eurozone

BAS VAN AARLE Faculty of Economics and Applied Economics, Catholic University of Leuven, Belgium JACQUES ANAS Centre d' Observation Economique, France TOICHIRO ASADA Faculty of Economics, Chuo University, Japan ROBERTO ASTOLFI Direzione Centrale della Contabilità Nazionale, ISTAT, Italy MICHAEL U. BERGMAN Department of Economics, University of Copenhagen, Denmark MONICA BILLIO Dipartimento di Economia, Università di Venezia, Italy MAURIZIO BOVI Institute for Studies and Economic Analyses, ISAE, Italy ROBERTO CASARIN Dipartimento di Economia, Università di Venezia, Italy NUNO CASSOLA Directorate General Economics, European Central Bank, Germany JOSÉ LUIS CEDEJAS BUENO Departamento de Análisis Económico, Universidad Autónoma de Madrid, Spain MARCO CENTONI Dipartimento SEGeS, Università del Molise, Italy CARL CHIARELLA School of Finance and Economics, University of Technology Sydney, Australia MARCO CRIVELLINI Dipartimento di Economia, Università Politecnica delle Marche, Italy GIANLUCA CUBADDA Dipartimento SEFEMEQ, Università di Roma,Tor Vergata, Italy HERMAN K. VAN DIJK Econometric Institute, Erasmus University, The Netherlands JUAN DEL HOYO BERNAT Departamento de Análisis Económico, Universidad Autónoma de Madrid, Spain ANTONI ESPASA Departamento de Métodos Cuantitativos para la Economía, Universidad San Pablo-CEU and Univ. Carlos III, Spain LAURENT FERRARA Centre d' Observation Economique, France GEBHARD FLAIG Department of Business CycleAnalyses and Financial Markets, Ifo Institute for Economic Research, Germany PETER FLASCHEL Department of Economics, Bielefeld University, Germany REINER FRANKE Technische Universität Wien, Austria FEDERICO GALIZIA European Investment Bank, Luxembourg MARCO GALLEGATI Dipartimento di Economia, Università Politecnica delle Marche, Italy MAURO GALLEGATI Dipartimento di Economia, Università Politecnica delle Marche, Italy HARRY GARRETSEN Utrecht School of Economics, Utrecht University, The Netherlands NIKO GOBBIN Department of Economics, Universiteit Gent, Belgium DOMINIQUE GUÉGAN Departement d.Economie et Gestion, MORA-CNRS, France JESPER HANSSON Institute of Economics, University of Copenhagen, Denmark ANDREW C. HARVEY Department of Economics and Politics, University of Cambridge, UK ALAIN HECQ Department of Quantitative Economics, Universiteit Maastricht, The Netherlands GÖRAN HJELM National Institute of Economic Research, Sweden PER JANSSON Deputy Head, Monetary Policy Department, Sveriges Riksbank, Sweden MATTHIEU LEMOINE Observatoire Français des Conjonctures Economiques, France MARCO LO DUCA GRETA Associati, Italy MÅRTEN LÖF National Institute of Economic Research, Sweden CAMILLE LOGEAY Institut für Makroökonomie und Konjunkturforschung (IMK), Germany MARCO MARINI Direzione Centrale della Contabilità Nazionale, ISTAT, Italy ANTONIO MATAS-MIR Directorate General Statistics, European Central Bank, Germany ROMAN MINGUEZ Departamento de Métodos

CONTENTS PART 1: BUSINESS CYCLE AND OFFICIAL STATISTICS Official Statistics for Business Cycle Analysis; G.L.Mazzi & G.Savio PART 2: MULTIVARIATE STATISTICAL METHODS AND RECENT ADVANCES IN BUSINESS CYCLE ANALYSIS Bayesian Inference on Dynamic Models with Latent Factors; M.Billio, R.Casarin & D.Sartore Output Fluctuations in G7 Countries: A Time-scale Decomposition Analysis; M.Crivellini, M.Gallegati, M.Gallegati & A.Palestrini Trend Estimation, Signal-noise Ratios and the Frequency of Observations; A.C.Harvey & T.M.Trimbur Bayes Estimates of the Cyclical Component in Twentieth Century US Gross Domestic Product; A.C.Harvey, T.M.Trimbur & H.K.van Dijk The Extent of Seasonal/Business Cycle Interactions in European Industrial Production; D.R.Osborn & A.Matas-Mir PART 3: SYNCHRONIZATION AND CONVERGENCE Interacting Two-country Business Fluctuations: Euroland and the USA; T.Asada, C.Chiarella, P.Flaschel & R.Franke How Does the Eurozone Respond to Shocks? A Common Trends and Common Cycles Analysis; R.Astolfi How Similar are European Business Cycles?; M.U.Bergman A Nonparametric Analysis of International Business Cycles; M.Bovi Measuring the Sources of Cyclical Fluctuations in the G7 Economies; M.Centoni, G.Cubadda & A.Hecq Synchronisation of National Business Cycles in Europe?; G.Flaig, J-E.Sturm & U.Woitek Modelling the Dynamic Convergence of Business Cycles; M.Lemoine The Economic Integration of Candidate Countries in the European Union: An Analysis with a Three-level Dynamic Factor Model; M.Marini European Business Cycle Affiliations with the USA; P.J.Perez, D.R.Osborn & M.Sensier VAR Modelling of the Euro-area GDP on the Basis of Principal Component Analysis; N.Sdrakas PART 4: COMPOSITE INDICATORS AND FORECASTING OF ECONOMIC ACTIVITY A Time-Series Disaggregated Model to Forecast GDP in the Eurozone; R.Minguez & A.Espasa Real-time Detection of the Business Cycle using SETAR Models; L.Ferrara & D.Guégan Business Survey Data: Do They Help in Forecasting GDP Growth?;J.Hansson, P.Jansson & M.Löf PART 5: TURNING POINTS DATING AND DETECTION Business Cycle Analysis with Multivariate Markov Switching Models; J.Anas, M.Billio, L.Ferrara & M.Lo Duca A Turning-Point Chronology for the Eurozone; J.Anas, L.Ferrara, M.Billio, M.Lo Duca Basic Characteristics of the Euro-area Business Cycle; A.Musso PART 6: OUTPUT GAP MEASUREMENT Stability Analysis in ARMA and Unobserved Component Models; J.Del Hoyo Bernat & J.L.Cenejas Bueno Simultaneous Determination of NAIRU, Output Gaps and Structural Budget Balances; G.Hjelm Density Estimates for Real-time Eurozone Output Gap Estimates; J.Mitchell Optimal Bandpass Filtering and the Reliability of Current Analysis; S.van Norden PART 7: MONETARY POLICY AND BUSINESS CYCLES Monetary and Fiscal Policy Transmission in the Euro-area: Evidence from a Structural VAR Analysis; B.van Aarle, H.Garretsen & N.Gobbin Business Cycle Fluctuations in the Euro-area; N.Cassola & C.Morana Measuring the 'Financing Gap' of European Corporations: An Update; F.Galizia The 'Savings Gap' of European Corporations: A First Look at the Available Data; F.Galizia with T.Steinberge r Explaining the Time-varying NAIRU in the Euro-area; C.Logeay & S.Tober Asymmetries and Credibility in Monetary Policy of Euro-area; K.Mouratidis