Towards a Monthly Business Cycle Chronology for the Euro Area

This paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration across business cycle phases, we propose to extend this method with a combined amplitude/phase-length criterion ruling out expansionary phases that are short and flat. Applying the extended procedure to US and European data, we are able to replicate approximately the dating decisions of the NBER and the CEPR.business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory factors. Precisely, an affine term structure model with parameter restrictions implied by no-arbitrage is added to a Factor-Augmented Vector Autoregression (FAVAR). The model is found to strongly outperform different benchmark models in out-of-sample yield forecasts, reducing root mean squared forecast errors relative to the random walk up to 50% for short and around 20% for long maturities. JEL Classification: C13, C32, E43, E44, E52Affine term structure models, Dynamic Factor Models, FAVAR, yield curve

Robust Multi-criteria Service Composition in Information Systems

Service compositions are used to implement business processes in a variety of application domains. A quality of service (QoS)-aware selection of the service to be composed involves multiple, usually conflicting and possibly uncertain QoS attributes. A multi-criteria solution approach is desired to generate a set of alternative service selections. In addition, the uncertainty of QoSattributes is neglected in existing solution approaches. Hence, the need for service reconfigurations is imposed to avoid the violation of QoS restrictions. The researched problem is NP-hard. This article presents a heuristic multicriteria service selection approach that is designed to determine a Pareto frontier of alternative service selections in a reasonable amount of time. Taking into account the uncertainty of response times, the obtained service selections are robust with respect to the constrained execution time. The proposed solution approach is based on the Nondominated Sorting Genetic Algorithm (NSGA)-II extended by heuristics that exploit problem specific characteristics of the QoS-aware service selection. The applicability of the solution approach is demonstrated by a simulation study