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Journal of Business Cycle Research

Subject Areas: Business and International Management; ; ; ; ;
Publisher: Springer International Publishing - Springer Journals
ISSN: 2509-7962
SJR: 6

Open Access

Journal Article

Estimation of the TFP Gap for the Largest Five EMU Countries

Carstensen, Kai; Kießner, Felix; Rossian, Thies

2024 Journal of Business Cycle Research

doi:10.1007/s41549-024-00092-w

In this paper we extend the Bayesian unobserved components model of the EU Commission to estimate the cyclical component of total factor productivity (TFP gap) with a factor structure that includes a wide array of business cycle indicators. We demonstrate that this model extension considerably...
LitStream

Journal Article

Selecting a Boosted HP Filter for Growth Cycle Analysis Based on Maximising Sharpness

Hall, Viv B.; Thomson, Peter

2024 Journal of Business Cycle Research

doi:10.1007/s41549-024-00093-9

The boosted HP (bHP) trend filter iterates the standard HP filter until the resulting trend deviation is free of any stochastic trend with the latter determined by suitable stopping rules. Here the performance and properties of the bHP trend filter for growth cycle analysis are considered based...

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