• A Quasi Real-Time Leading Indicator for the EU Industrial Production 

      Donadelli, Michael; Paradiso, Antonio; Riedel, Max (2016-01-04)
      We build a quasi real-time leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper gives rise to an ex-ante LI that is immune to “overlapping ...
    • Higher-Order Income Risk over the Business Cycle: A Parametric Approach 

      Busch, Christopher; Ludwig, Alexander (2020-03-24)
      We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by ...
    • Investment-Specific Shocks, Business Cycles, and Asset Prices 

      Curatola, Giuliano; Donadelli, Michael; Grüning, Patrick; Meinerding, Christoph (2016-03-14)
      We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we ...
    • Risk Pooling, Leverage, and the Business Cycle 

      Dindo, Pietro; Modena, Andrea; Pelizzon, Loriana (2020-02-25)
      This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We model a general equilibrium productive economy where financial intermediaries provide costly risk ...
    • The Impact of Long-Run Macroeconomic Experiences on Personality 

      Vellekoop, Nathanaël (2016-08-01)
      Using two datasets containing demographically representative samples of the Dutch population, I study how lifetime experiences of aggregate labor market conditions affect personality. Three sets of findings are reported. ...
    • The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy 

      Jordà, Òscar; Taylor, Alan M. (2014-04-01)
      After the Global Financial Crisis a controversial rush to fiscal austerity followed in many countries. Yet research on the effects of austerity on macroeconomic aggregates was and still is unsettled, mired by the difficulty ...