Avviso Seminario - DSS Udine

[Tommaso Proietti <proietti@dss.uniud.it>]

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                              AVVISO DI SEMINARIO
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Il giorno mercoledì 2 giugno alle ore 15.30, presso la Saletta Conferenze
del Dipartimento di Scienze Statistiche dell'Università di Udine, Via
Treppo 18, il  
                      Dr. GERHARD RÜNSTLER (Austrian National Bank) 
terrà un seminario dal titolo: 

               Measuring stylized facts using stochastic cycles

                                   Abstract

The study proposes a multivariate unobserved components model in order to
examine relationships at business cycle frequencies among macroeconomic
variables. The series are decomposed into non-stationary trends and
stationary cycles. Cyclical comovement is modelled by a latent factor,
whose dynamics is governed by a stochastic cycle. As a consequence of
certain symmetry properties of the latter, cyclical comovement can be
parametrized in terms of relative variances, phase shifts, and coherence.
The  model is applied to a US labour market data set. As one interesting
outcome, the real wage exhibits of one quarter of the cycle length to
output implying a zero contemporaneous correlation.

La s.v. è invitata a partecipare. 

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Tommaso Proietti                   
Dipartimento di Scienze Statistiche
Università di Udine
Via Treppo 18, 33100 Udine, Italy
Tel. +39 0432 24.9581
Fax  +39 0432 24.9595
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