Regional Business Cycle Synchronization in Europe? Bruges European Economic Research (BEER) Papers 11/June 2007

We analyse regional business cycle synchronization in the Euro Area, using Gross Value Added in 53 NUTS 1 regions for a period of thirty years (1975-2005), detrended by Hodrick-Prescott and the Christiano-Fitzgerald filters. We conclude that, on average, synchronization has increased for the period considered with exceptions during the eighties and the beginning of the nineties. Still, the correlation of the business cycle in some regions with the benchmark remained low or even decreased. Our findings also support the hypothesis of the existence of a ‘national border’ effect.

The Business Cycle on Both Sides of the Atlantic. Jean Monnet/Robert Schuman Paper Series Vol. 14 No. 16, August 2014

The recent economic recession, that began in the US in late 2007 and lasted eighteen months with a heavy toll on society’s wellbeing, has demonstrated the need and urgency of properly understanding the business cycle. This is important because this paper shows that the US business cycle is a leading indicator for the European Union and the Eurozone. Therefore, it can advise governments in the European continent that a change of economic tendency is taking place, which due to globalization will sooner or later affect economies and societies. Thus, understanding the business cycle will give European governments an opportunity to adjust economic and monetary policies to help soften the negative effects on European society.

Energy related innovation, the missing link? : a revision and integration of the business cycle theories of Keynes and Schumpeter /

"To be presented at the Sixteenth International Atlantic Economic Conference, Philadelphia, Pennsylvania, October 6-9, 1983."

Effective forms of market orientation across the business cycle:a longitudinal analysis of business-to-business firms

Macroeconomic developments, such as the business cycle, have a remarkable influence on firms and their performance. In business-to-business (B-to-B) markets characterized by a strong emphasis on long-term customer relationships, market orientation (MO) provides a particularly important safeguard for firms against fluctuating market forces. Using panel data from an economic upturn and downturn, we examine the effectiveness of different forms of MO (i.e., customer orientation, competitor orientation, interfunctional coordination, and their combinations) on firm performance in B-to-B firms. Our findings suggest that the impact of MO increases especially during a downturn, with interfunctional coordination clearly boosting firm performance and, conversely, competitor orientation becoming even detrimental. The findings further indicate that both the role of MO and its most effective forms vary across industry sectors, MO having a particularly strong impact on performance among B-to-B service firms. The findings of our study provide guidelines for executives to better manage performance across the business cycle and tailor their investments in MO more effectively, according to the firm's specific industry sector.

A New Method For Combining Detrending Techniques with Application to Business Cycle Synchronization of the New EU Members

Decomposing output into trend and cyclical components is an uncertain exercise and depends on the method applied. It is an especially dubious task for countries undergoing large structural changes, such as transition countries. Despite their deficiencies, however, univariate detrending methods are frequently adopted for both policy oriented and academic research. This paper proposes a new procedure for combining univariate detrending techniques which is based on revisions of the estimated output gaps adjusted by the variance of and the correlation among output gaps. The procedure is applied to the study of the similarity of business cycles between the euro area and new EU Member States.

Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic

Using a panel of 21 OECD countries and 40 years of annual data, we find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. That is, fiscal convergence (in the form of persistently similar ratios of government surplus/deficit to GDP) is systematically associated with more synchronized business cycles. We also find evidence that reduced fiscal deficits increase business cycle synchronization. The Maastricht "convergence criteria," used to determine eligibility for EMU, encouraged fiscal convergence and deficit reduction. They may thus have indirectly moved Europe closer to an optimum currency area, by reducing countries’ abilities to create idiosyncratic fiscal shocks. Our empirical results are economically and statistically significant, and robust.

A fiskális divergencia és a konjunktúraciklusok együttmozgása - a felelőtlen fiskális politika az aszimmetrikus sokkok forrása (Fiscal divergence and business cycle synchronization: irresponsibility is idiosyncratic)

A világ 115 országának - köztük 21 OECD-tagország - 40 évnyi adatait vizsgálva, arra a következtetésre jutottunk, hogy a hasonló állami költségvetési pozíciójú országok konjunktúraciklusai között szorosabb együttmozgás mutatható ki. Azaz, a fiskális konvergenciát (amelyet a költségvetési egyenleg GDP-hez viszonyt arányának konvergenciájaként definiáltunk) összehangoltabb konjunktúraciklusokkal lehet összefüggésbe hozni. Kutatásaink során arra is találtunk bizonyítékot, hogy a kisebb mértékű költségvetési deficitek növelik a konjunktúraciklusok együttmozgását. A maastrichti konvergenciakritériumok - amelyek az európai monetáris unió követelményeinek való megfelelést hivatottak meghatározni - a fiskális konvergenciát és a költségvetési deficit csökkentését ösztönözték, s ezzel közvetett módon hozzásegítették Európát egy optimális valutaövezet létrehozásához azáltal, hogy csökkent az egyes országok lehetősége a felelőtlen fiskális politika által gerjesztett sokkhatások létrehozására. Az általunk feltárt empirikus eredmények gazdasági és statisztikai szempontból is szignifikánsak és robusztusak. _____ Using panels of 115 countries of world – including 21 OECD countries – and 40 years of annual data, the authors find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. Thus fiscal convergence (in the form of persistently similar ratios of government surplus/deficit to GDP) is systemati-cally associated with more strongly synchronized business cycles. Evidence is also found that reduced fiscal deficits increase business-cycle synchronization. The Maastricht "con-vergence criteria", used to determine eligibility for EMU, encouraged fiscal convergence and deficit reduction. So they may, indirectly, have moved Europe closer to an optimum currency area, by reducing countries abilities to create idiosyncratic fiscal shocks. The empirical results of the study are economically and statistically significant, and robust.

Konjunktúraingadozások az Egyesült Államokban 1970-2010 - Értelmezési nehézségek = Business cycles and recession patterns in the US economy and in the G7

Lehet-e beszélni a 2011-ig felgyülemlett empirikus tapasztalatok tükrében egy egységes válságlefolyásról, amely a fejlett ipari országok egészére általában jellemző, és a meghatározó országok esetében is megragadható? Megállapíthatók-e olyan univerzális változások a kibocsátás, a munkapiacok, a fogyasztás, valamint a beruházás tekintetében, amelyek jól illeszkednek a korábbi tapasztalatokhoz, nem kevésbé az ismert makromodellek predikcióihoz? A válasz – legalábbis jelen sorok írásakor – nemleges: sem a válság lefolyásának jellegzetességeiben és a makrogazdasági teljesítmények romlásának ütemében, sem a visszacsúszás mértékében és időbeli kiterjedésében sincsenek jól azonosítható közös jegyek, olyanok, amelyek a meglévő elméleti keretekbe jól beilleszthetők. A tanulmány áttekinti a válsággal és a makrogazdasági sokkokkal foglalkozó empirikus irodalom – a pénzügyi globalizáció értelmezései nyomán – relevánsnak tartott munkáit. Ezt követően egy 60 év távlatát átfogó vizsgálatban próbáljuk megítélni a recessziós időszakokban az amerikai gazdaság teljesítményét azzal a célkitűzéssel, hogy az elmúlt válság súlyosságának megítélése kellően objektív lehessen, legalább a fontosabb makrováltozók elmozdulásának nagyságrendje tekintetében. / === / Based on the empirical evidence accumulated until 2011, using official statistics from the OECD data bank and the US Commerce Department, the article addresses the question whether one can, or cannot, speak about generally observable recession/crisis patterns, such that were to be universally recognized in all major industrial countries (the G7). The answer to this question is a firm no. Changes and volatility in most major macroeconomic indicators such as output-gap, labor market distortions and large deviations from trend in consumption and in investment did all, respectively, exhibit wide differences in depth and width across the G7 countries. The large deviations in output-gaps and especially strong distortions in labor market inputs and hours per capita worked over the crisis months can hardly be explained by the existing model classes of DSGE and those of the real business cycle. Especially bothering are the difficulties in fitting the data into any established model whether business cycle or some other types, in which financial distress reduces economic activity. It is argued that standard business cycle models with financial market imperfections have no mechanism for generating deviation from standard theory, thus they do not shed light on the key factors underlying the 2007–2009 recession. That does not imply that the financial crisis is unimportant in understanding the recession, but it does indicate however, that we do not fully understand the channels through which financial distress reduced labor input. Long historical trends on the privately held portion of the federal debt in the US economy indicate that the standard macro proposition of public debt crowding out private investment and thus inhibiting growth, can be strongly challenged in so far as this ratio is neither a direct indicator of growth slowing down, nor for recession.

The effect of the business cycle on the performance of socially responsible equity mutual funds

The current study applies a two-state switching regression model to examine the behavior of a hypothetical portfolio of ten socially responsible (SRI) equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using monthly data. The model identified a business cycle effect on the performance of SRI equity mutual funds. Fund returns were less volatile during expansion/peaks than during contraction/troughs, as indicated by the standard deviation of returns. During contraction/troughs, fund excess returns were explained by the differential in returns between small and large companies, the difference between the returns on stocks trading at high and low Book-to-Market Value, the market excess return over the risk-free rate, and fund objective. During contraction/troughs, smaller companies offered higher returns than larger companies (ci = 0.26, p = 0.01), undervalued stocks out-performed high growth stocks (h i = 0.39, p <0.0001), and funds with growth objectives out-performed funds with other objectives (oi = 0.01, p = 0.02). The hypothetical SRI portfolio was less risky than the market (bi = 0.74, p <0.0001). During expansion/peaks, fund excess returns were explained by the market excess return over the risk-free rate, and fund objective. Funds with other objectives, such as balanced funds and income funds out-performed funds with growth objectives (oi = −0.01, p = 0.03). The hypothetical SRI portfolio exhibited similar risk as the market (bi = 0.93, p <0.0001). The SRI investor adds a third criterion to the risk and return trade-off of traditional portfolio theory. This constraint is social performance. The research suggests that managers of SRI equity mutual funds may diminish value by using social and ethical criteria to select stocks, but add value by superior stock selection. The result is that the performance of SRI mutual funds is very similar to that of the market. There was no difference in the value added among secular SRI, religious SRI, and vice screens.

Business Process Management and Process Mining within a Real Business Environment: An Empirical Analysis of Event Logs Data in a Consulting Project

Il presente elaborato esplora l’attitudine delle organizzazioni nei confronti dei processi di business che le sostengono: dalla semi-assenza di struttura, all’organizzazione funzionale, fino all’avvento del Business Process Reengineering e del Business Process Management, nato come superamento dei limiti e delle problematiche del modello precedente. All’interno del ciclo di vita del BPM, trova spazio la metodologia del process mining, che permette un livello di analisi dei processi a partire dagli event data log, ossia dai dati di registrazione degli eventi, che fanno riferimento a tutte quelle attività supportate da un sistema informativo aziendale. Il process mining può essere visto come naturale ponte che collega le discipline del management basate sui processi (ma non data-driven) e i nuovi sviluppi della business intelligence, capaci di gestire e manipolare l’enorme mole di dati a disposizione delle aziende (ma che non sono process-driven). Nella tesi, i requisiti e le tecnologie che abilitano l’utilizzo della disciplina sono descritti, cosi come le tre tecniche che questa abilita: process discovery, conformance checking e process enhancement. Il process mining è stato utilizzato come strumento principale in un progetto di consulenza da HSPI S.p.A. per conto di un importante cliente italiano, fornitore di piattaforme e di soluzioni IT. Il progetto a cui ho preso parte, descritto all’interno dell’elaborato, ha come scopo quello di sostenere l’organizzazione nel suo piano di improvement delle prestazioni interne e ha permesso di verificare l’applicabilità e i limiti delle tecniche di process mining. Infine, nell’appendice finale, è presente un paper da me realizzato, che raccoglie tutte le applicazioni della disciplina in un contesto di business reale, traendo dati e informazioni da working papers, casi aziendali e da canali diretti. Per la sua validità e completezza, questo documento è stata pubblicato nel sito dell'IEEE Task Force on Process Mining.

Cyclical Features of Uzawa-Lucas Endogenous Growth Model

This paper analyzes the cyclical properties of a generalized version of Uzawa-Lucas endogenous growth model. We study the dynamic features of different cyclical components of this model characterized by a variety of decomposition methods. The decomposition methods considered can be classified in two groups. On the one hand, we consider three statistical filters: the Hodrick-Prescott filter, the Baxter-King filter and Gonzalo-Granger decomposition. On the other hand, we use four model-based decomposition methods. The latter decomposition procedures share the property that the cyclical components obtained by these methods preserve the log-linear approximation of the Euler-equation restrictions imposed by the agent’s intertemporal optimization problem. The paper shows that both model dynamics and model performance substantially vary across decomposition methods. A parallel exercise is carried out with a standard real business cycle model. The results should help researchers to better understand the performance of Uzawa-Lucas model in relation to standard business cycle models under alternative definitions of the business cycle.

Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence

Previous research has shown a strong positive correlation between short-term persistence and long-term output growth as well as between depreciation rates and long-term output growth. This evidence, therefore, contradicts the standard predictions from traditional neoclassical or AK-type growth models with exogenous depreciation. In this paper, we first confirm these findings for a larger sample of 101 countries. We then study the dynamics of growth and persistence in a model where both the depreciation rate and growth are endogenous and procyclical. We find that the model s predictions become consistent with the empirical evidence on persistence, long-term growth and depreciation rates.

Termes de l'échange endogènes et cycles économiques réels : une application à la Côte-d'Ivoire

À l’aide d’un modèle de cycles réels, la présente étude vise à expliquer, de façon endogène, les fluctuations des termes de l’échange en Côte-d’Ivoire. Pour ce faire, nous cherchons principalement à répondre aux deux questions suivantes : les chocs d’offre et de demande sur le marché d’exportation suffisent-ils à expliquer les variations des termes de l’échange? Et quelle est leur importance relative dans la dynamique des termes de l’échange? Les résultats montrent que les deux chocs considérés expliquent bien la volatilité des termes de l’échange. Nous avons noté que ces deux sources d’impulsions ont un impact significatif sur les fluctuations économiques en Côte-d’Ivoire.

Methods to Estimate Dynamic Stochastic General Equilibrium Models

This paper employs the one-sector Real Business Cycle model as a testing ground for four different procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1 ) Maximum Likelihood, with and without measurement errors and incorporating Bayesian priors, 2) Generalized Method of Moments, 3) Simulated Method of Moments, and 4) Indirect Inference. Monte Carlo analysis indicates that all procedures deliver reasonably good estimates under the null hypothesis. However, there are substantial differences in statistical and computational efficiency in the small samples currently available to estimate DSGE models. GMM and SMM appear to be more robust to misspecification than the alternative procedures. The implications of the stochastic singularity of DSGE models for each estimation method are fully discussed.