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Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output

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Soloschenko, Max ; Weber, Enzo
Date of publication of this fulltext: 06 Dec 2012 13:58


In the following paper a simultaneous unobserved components model is applied to US and Canadian output data in order to examine the causal structure of trend and cycle shocks and the way it changes over time. The main focus is placed on the analysis of the subprime crisis impact on the trend and cycle components. The structural model is identified by means of heteroscedasticity. During the ...


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