In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1 -2012Q4 for the G7 countries we find that: (i) spillovers between credit growth and GDP growth evolve rather heterogeneously over time and across countries, and increase during extreme economic events. (ii) Spillovers between credit growth and GDP growth are of bidirectional nature, indicating bidirectional spillovers of shocks between the financial and the real sector. (iii) In the period shortly before and during the global financial crisis, the link between credit growth and GDP growth becomes more pronounced. In particular, the financial sector plays a dominant role during the early stages of the crisis, while the real sector quickly takes over as the dominant source of spillovers. (iv) Interestingly, credit growth in the US is the dominant transmitter of shocks to the G7 countries, and especially to other G7 countries' real sectors in the run up period to (and during) the global financial crisis. Overall, our results suggest that the magnitude and direction of spillovers between financial cycles and business cycles vary over time along with changes in the economic environment in the G7 countries. (authors' abstract)

本研究探討分析師盈餘預測偏差程度是否受到景氣循環的影響。首先以美國股市大盤指數的漲跌趨勢判定景氣循環的高峰時點，並藉此區分景氣循環由上往下反轉與否之依據。其次，探討當景氣由上往下反轉時，分析師盈餘預測的偏差程度是否有明顯增加的現象。最後，探討預測該公司之分析師人數、公司盈餘變動程度、公司發生損失及分析師盈餘預測的分散程度與分析師盈餘預測偏差程度之相關性，於景氣由上往下反轉時期與景氣穩定成長時期是否會有顯著差異。 實證結果顯示：(1)分析師盈餘預測偏差程度的確會受到景氣循環的影響。當景氣由上往下反轉時，分析師未能掌握景氣循環的脈動，立即修正其盈餘預測，而是傾向發佈具樂觀性偏差的盈餘預測。(2)處於景氣由上往下反轉時期，預測該公司之分析師人數、公司發生損失及分析師預測盈餘分散程度對分析師盈餘預測的偏差程度之影響會產生強化效果。然而，本研究並無充足證據顯示，公司盈餘變動程度與分析師盈餘預測偏差程度之相關性會受到景氣由上往下反轉而有所不同。 / This study investigates whether business cycle affects bias in analysts’ earnings forecasts. Based on NASDAQ market index, an economic sudden slump is selected for examining whether the bias in analysts’ earnings forecasts is more obvious during the period of the economic slump. On top of this, the association between the bias in analysts’ earnings forecasts and some economic factors including number of analysts following, change in earnings, firm loss and forecast dispersion in the economic sudden slump is also explored. The empirical results show that business cycle in analysts’ earnings forecasts indeed influences bias. When the economic sudden slump happens, analysts are not aware of business cycle’s fluctuation in time to revise their earnings forecasts; instead they trend to issue optimistic bias in earnings forecasts. In the economic sudden slump, the number of analysts following, firm loss and forecast dispersion deeply affect bias in analysts’ earnings forecasts. However, this study does not find sufficient evidence that the association between change in earnings and bias in analysts’ earnings forecasts is more obvious during the period of economic sudden slump.

Using the dynamic conditional correlation (DCC) model due to Engle (2002), we estimate time varying correlations of quarterly real GDP growth among the G7 countries. In general, we find that rather heterogeneous patterns of international synchronization exist during US recessions. During the 2007-2009 recession, however, international co-movement increased substantially. (authors' abstract)

The paper estimates a dynamic macroeconometric model for the US economy that captures two important features commonly observed in the study of the US business cycle, namely the strong co-movement of key macroeconomic quantities, and the distinction between expansionary and recessionary phases. The model extends the factor-augmented vector autoregressive model of Bernanke et al. (2005) by combining Markov switching with factor augmentation, modeling the Markov switching probabilities endogenously, and adopting a full Bayesian estimation approach which uses shrinkage priors for several parts of the parameter space. Exploiting a large data set for the US economy ranging from 1971:Q1 to 2014:Q2, the model is applied to measure not only the dynamic effects of unconventional monetary policy within distinct stages of the business cycle, but also the dynamic response of the recession probabilities, based on conducting counterfactual simulations. The results obtained provide new insights on the effect of monetary policy under changing business cycle phases, and highlight the importance of discriminating between expansionary and recessionary phases of the business cycle when analyzing the impact of monetary policy on the macroeconomy. (authors' abstract) / Series: Working Papers in Regional Science

La thèse examine l'optimalité de la Zone Euro une vingtaine d'années après le débat entre la Commission Européenne puis Frankel et Rose (1998) et Krugman (1993). Elle porte principalement sur les membres fondateurs (1980-2010), et s'intéresse secondairement à l'élargissement de la zone monétaire aux PECO. Elle retient un critère transversal d'analyse: la convergence des cycles économiques des pays membres évoqué dès Mundell (1961). L'analyse de la convergence des cycles (corrélation) et des chocs (modèle SVAR) est complétée par celle des déterminants de la première faite à l'aide de modèles à équations simultanées et de modèles dynamiques sur données de panel, ceci afin de répondre à la question de l'endogénéité des critères d'optimalité et ses conditions de réalisation. Enfin, le cas des biens non échangeables mérite d'être étudié à la lumière des caractéristiques de la crise économique de 2007-2008 qui a fortement touché les pays membres en rattrapage. L'analyse de la synchronisation des cycles immobiliers tient compte des caractéristiques particulières du secteur immobilier. La zone montre des divergences qui s'accentuent à nouveau avec la crise actuelle qui met en cause la viabilité de la monnaie unique ainsi que l'optimalité de la zone monétaire. / We examine the optimality of the euro zone two decades after the debate between the European Commission and Frankel and Rose (1998) versus Krugman (1993). The study focuses on the founding members between 1980 and 2010, and it also deals with the expansion of the currency area to CEECs. We retain a main convergence criterion through the analysis: the convergence of business cycles in member countries [Mundell (1961)]. The analysis of the convergence of cycles (with their bilateral correlations) and shocks at their origin (using a SVAR model) is completed by the study of its determinants (using simultaneous equations models and dynamic panel models). We then address the issue of endogeneity of the optimality criteria and its conditions of realization. Finally, the case of the real estate sector deserves to be studied in light of the characteristics of the economic crisis of 2007 - 2008 which has greatly affected catching up members. The analysis of the housing cycles takes also into account the specific characteristics of the housing sector. The area displays differences that are growing again with the crisis and calls upon the viability of the Euro Zone and the optimal currency area.

We propose the analysis of the dynamics of the standard deviation of business cycles across euro area countries in order to evaluate the patterns of cyclical convergence in the European Monetary Union for the period 1960-2008. We identify significant business cycle divergence taking place in the mid-eighties, followed by a persistent convergence period spanning most of the nineties. This convergent episode finishes roughly with the birth of the European Monetary Union. We show that a hypothetical euro area including all the new members of the recent enlargement rounds does not imply a sizeable decrease in the optimality of the currency union. Finally, the European synchronization differential with respect to other developed economies seems to have been diluted within a global cycle since 2004.

The diploma thesis is focused on influence of the economic environment to the business value. The goal of the thesis is a corporate valuation of the entity to 31.12.2009 in recent time of unstable market and financial crisic and how is the business value changeable depenging on business cycle. At the beginning summary of theoretical data concerning business cycle theories is introduced, followed by a description of business cycle and GDP of the Czech Republic from 1996 to 2010. Key part of the thesis is the corporate valuation according to Discounted Cash Flow (DCF) analysis. The last chapter is based on comparison of the business value year after.

Neither Austrian nor Post Keynesian school is part of contemporary economic mainstream, both schools explain business cycle theory by monetary influences. This thesis examinates, through analysis of these theories, whether there are any other common elements except of the fact that both are monetary theories of business cycle. The key question author tries to answer is if we can describe these theories as substitute or complement. In last part theoretical analysis is enriched by the scale, which reflects substitution or complementary nature of the theories.

Market economies are not developing smoothly, they succumb to permanent fluctuations of economic activity. Effort of macro-policies is to mitigate or eliminate these fluctuations and support long-term economic growth. Therefore, the aim of this thesis is to analyse the influence of economic policy on causes, course and impact of cyclical development in the Czech Republic in the years 1989-2009. The first section will outline the theoretical background of the economic cycle. I will explain the essence, causes, methodological basis of the business cycle and describe a set of indicators that will help me to analyse fluctuations of economical activity in the practical part. In theoretical part I will also focus on economic policy, especially on the macroeconomic area, but the microeconomical area will be also mentioned. In practical part I will study economic development of the Czech Republic in last twenty years, using the indicators described in the theoretical part. I will evaluate the way of setting the economic policy (suitability of policy mix) in certain economic situations and answer the main question of this thesis: what was the influence of economic policy on economic development of the Czech Republic? Last chapter will be devoted to the business cycle forecasts. I will compare methodical approaches used by forecasting centres such as Ministry of Finance, Czech National Bank and OECD. I will analyse how the previous forecasts of these institutions varied from reality and finally perform a forecast of economic development in the Czech Republic.

The diploma thesis deals with the basic Real Business Cycle (RBC) model. RBC theory provides pure supply-side explanation of economic fluctuations. Generaly acknowledged contribution of RBC theory is the fact that the model is developed strictly on microeconomic basis. The thesis consists of two basic parts, theoretical and practical. First, historical background of RBC theory is mentioned. Then the basic RBC model is step-by-step derived and all equations are provided with explanations. In the last theoretical part section RBC theory critisism is discussed. In the practical part the derived basic model is applied to the Czech economy. First certain properties of the Czech business cycles are examined. Then, the basic model is calibrated, simulated and the results are commented.