Markov-Switching Procedures for Dating the Euro-Zone Business Cycle
JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Markov-Switching Procedures for Dating the Euro-Zone Business Cycle
Vierteljahrshefte zur Wirtschaftsforschung, Vol. 70 (2001), Iss. 3 : pp. 339–351
27 Citations (CrossRef)
Additional Information
Article Details
Author Details
1Department for Economics and Nuffield College, Oxford University.
Cited By
-
Uluslararass KKymetli Metal Piyasalarrnnn Rejim Dinamikleri (Regime Dynamics of International Precious Metal Markets)
Koy, Ayben | etin, GGldenur | Ersan, IhsanSSRN Electronic Journal, Vol. (2017), Iss.
https://doi.org/10.2139/ssrn.2992052 [Citations: 0] -
The determinants of FDI in Turkey: A Markov Regime-Switching approach
Bilgili, Faik | Tülüce, Nadide Sevil Halıcı | Doğan, İbrahimEconomic Modelling, Vol. 29 (2012), Iss. 4 P.1161
https://doi.org/10.1016/j.econmod.2012.04.009 [Citations: 48] -
Global İslâmi Hisse Senedi Endekslerinin Markov Rejim Değişim Modeli İle İncelenmesi
Öztürk, Doğan | Özdemir, ŞuayıpKocatepe İslami İlimler Dergisi, Vol. 7 (2024), Iss. 1 P.78
https://doi.org/10.52637/kiid.1353329 [Citations: 0] -
Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach
Bilgili, Faik | Ünlü, Fatma | Gençoğlu, Pelin | Kuşkaya, SevdaApplied Economic Analysis, Vol. 30 (2022), Iss. 88 P.52
https://doi.org/10.1108/AEA-08-2020-0105 [Citations: 10] -
A useful tool for forecasting the Euro-area business cycle phases
Bengoechea, Pilar | Camacho, Maximo | Perez-Quiros, GabrielInternational Journal of Forecasting, Vol. 22 (2006), Iss. 4 P.735
https://doi.org/10.1016/j.ijforecast.2006.01.002 [Citations: 34] -
How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses
Singh, Amanjot | Singh, RajdeepTheoretical Economics Letters, Vol. 07 (2017), Iss. 05 P.1511
https://doi.org/10.4236/tel.2017.75102 [Citations: 2] -
A Markov switching analysis of contagion in the EMS
Mandilaras, Alex | Bird, GrahamJournal of International Money and Finance, Vol. 29 (2010), Iss. 6 P.1062
https://doi.org/10.1016/j.jimonfin.2010.03.001 [Citations: 22] -
Regime-Dependent Synchronization of Growth Cycles between Japan and East Asia
Girardin, Eric
Asian Economic Papers, Vol. 3 (2004), Iss. 3 P.147
https://doi.org/10.1162/1535351054825166 [Citations: 14] -
Les cycles économiques de la France : une datation de référence
Aviat, Antonin | Bec, Frédérique | Diebolt, Claude | Doz, Catherine | Ferrand, Denis | Ferrara, Laurent | Heyer, Éric | Mignon, Valérie | Pionnier, Pierre-AlainRevue économique, Vol. Vol. 74 (2023), Iss. 2 P.5
https://doi.org/10.3917/reco.742.0005 [Citations: 0] -
Linear and nonlinear TAR panel unit root analyses for solid biomass energy supply of European countries
Bilgili, Faik
Renewable and Sustainable Energy Reviews, Vol. 16 (2012), Iss. 9 P.6775
https://doi.org/10.1016/j.rser.2012.07.023 [Citations: 15] -
A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA
ANAS, JACQUES | BILLIO, MONICA | FERRARA, LAURENT | MAZZI, GIAN LUIGIThe Manchester School, Vol. 76 (2008), Iss. 5 P.549
https://doi.org/10.1111/j.1467-9957.2008.01076.x [Citations: 42] -
Introducing the Euro Area‐wide Leading Indicator (ALI): Real‐Time Signals of Turning Points in the Growth Cycle from 2007 to 2011
de Bondt, Gabe J. | Hahn, ElkeJournal of Forecasting, Vol. 33 (2014), Iss. 1 P.47
https://doi.org/10.1002/for.2273 [Citations: 5] -
Environmental pollution, hydropower energy consumption and economic growth: Evidence from G7 countries
Bildirici, Melike E. | Gökmenoğlu, Seyit M.Renewable and Sustainable Energy Reviews, Vol. 75 (2017), Iss. P.68
https://doi.org/10.1016/j.rser.2016.10.052 [Citations: 197] -
Equity, Credit and the Business Cycle
Ielpo, Florian
SSRN Electronic Journal, Vol. (2011), Iss.
https://doi.org/10.2139/ssrn.1773366 [Citations: 0] -
Un indicateur probabiliste du cycle d'accélération pour l'économie française
Adanero-Donderis, Marie | Darné, Olivier | Ferrara, LaurentÉconomie & prévision, Vol. n° 189 (2009), Iss. 3 P.95
https://doi.org/10.3917/ecop.189.0095 [Citations: 0] -
Does globalization matter for environmental sustainability? Empirical investigation for Turkey by Markov regime switching models
Bilgili, Faik | Ulucak, Recep | Koçak, Emrah | İlkay, Salih ÇağrıEnvironmental Science and Pollution Research, Vol. 27 (2020), Iss. 1 P.1087
https://doi.org/10.1007/s11356-019-06996-w [Citations: 139] -
Two Probabilistic Cyclical Turning Point Indicators for the French Economy (Deux Indicateurs Probabilistes de Retournement Cyclique Pour L’Économie Française) (French)
Adanero-Donderis, Marie | darné, olivier | Ferrara, LaurentSSRN Electronic Journal, Vol. (2007), Iss.
https://doi.org/10.2139/ssrn.1688956 [Citations: 26] -
Export quality, economic growth, and renewable-nonrenewable energy use: non-linear evidence through regime shifts
Bilgili, Faik | Kuşkaya, Sevda | Ünlü, Fatma | Gençoğlu, PelinEnvironmental Science and Pollution Research, Vol. 29 (2022), Iss. 24 P.36189
https://doi.org/10.1007/s11356-022-18601-8 [Citations: 13] -
Caractérisation et datation des cycles économiques en zone euro
Ferrara, Laurent
Revue économique, Vol. Vol. 60 (2009), Iss. 3 P.703
https://doi.org/10.3917/reco.603.0703 [Citations: 11] -
Economic resilience and regionally differentiated cycles: Evidence from a turning point approach in Italy
Duran, Hasan Engin | Fratesi, UgoPapers in Regional Science, Vol. 102 (2023), Iss. 2 P.219
https://doi.org/10.1111/pirs.12725 [Citations: 4] -
The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching‐VAR Analysis
Balcilar, Mehmet | van Eyden, Reneé | Uwilingiye, Josine | Gupta, RanganAfrican Development Review, Vol. 29 (2017), Iss. 2 P.319
https://doi.org/10.1111/1467-8268.12259 [Citations: 40] -
Identification of Slowdowns and Accelerations for the Euro Area Economy
Ferrara, Laurent | darné, olivierSSRN Electronic Journal, Vol. (2009), Iss.
https://doi.org/10.2139/ssrn.1666734 [Citations: 2] -
Housing Cycles in the Major Euro Area Countries
Álvarez, Luis J. | Bulligan, Guido | Cabrero, Alberto | Ferrara, Laurent | Stahl, HaraldSSRN Electronic Journal, Vol. (2010), Iss.
https://doi.org/10.2139/ssrn.1582354 [Citations: 77] -
Intelligence for Nonlinear Dynamics and Synchronisation
Financial Markets Analysis: Can Nonlinear Science Contribute?
Vouldis, Angelos T.
2010
https://doi.org/10.2991/978-94-91216-30-5_7 [Citations: 0] -
Business cycle asymmetries in Turkey: an application of Markov-switching autoregressions
Tastan, Huseyin | Yildirim, NuriInternational Economic Journal, Vol. 22 (2008), Iss. 3 P.315
https://doi.org/10.1080/10168730802376151 [Citations: 8] -
The Portuguese Business Cycle: Chronology and Duration Dependence
Castro, Vitor Manuel Alves
SSRN Electronic Journal, Vol. (2011), Iss.
https://doi.org/10.2139/ssrn.1805493 [Citations: 2] -
Growth‐cycle features of East Asian countries: are they similar?
Girardin, Eric
International Journal of Finance & Economics, Vol. 10 (2005), Iss. 2 P.143
https://doi.org/10.1002/ijfe.262 [Citations: 19]
Abstract
This paper addresses the issues of identification and dating of the Euro-zone business cycle by using the Markov-switching approach innovated by Hamilton in his analysis of the US business cycle. Regime shifts in the stochastic process of economic growth in the Euro-zone are identified by fitting Markov-switching models to aggregated and single-country Euro-zone real GDP growth data of the last two decades. The models are found to be statistically congruent and economically meaningful. Based of the smoothed regime probabilities from the Markov-switching models the Euro-zone business cycle is dated and recessions from 1980Q1 to 1981Q1 and 1992Q3 to 1993Q2 are revealed. A Markov-switching vector autoregression of real GDP growth rates in eight EMU member states shows that while the business cycles in the Euro-zone have not been perfectly synchronized over the last two decades, the overall evidence for the presence of a common Euro-zone cycle is strong.
Zur Identifikation und Datierung des Konjunkturzyklus in der Eurozone wird der von Hamilton zur Analyse des US-Konjunkturzyklus vorgeschlagene Markov-Regimewechselansatz auf vierteljährliche aggregierte und länderspezifische Zeitreihen des realen Bruttoinlandsproduktwachstums der zwei letzten Jahrzehnte angewandt. Mit den statistisch kongruenten und ökonomisch sinnvollen Modellen werden Regimewechsel im stochastischen Wachstumsprozess der Wirtschaft in der Eurozone identifiziert. Basierend auf den implizierten geglätteten Regimewahrscheinlichkeiten kann eine Datierung des Konjunkturzyklus in der Eurozone vorgenommen werden: Rezessionen werden für die Perioden erstes Quartal 1980 bis erstes Quartal 1981 und drittes Quartal 1992 bis zweites Quartal 1993 notiert. Für die multivariate Analyse realer BIP-Daten von acht EMU-Mitgliedstaaten wird das zuvor betrachtete univariate stochastische Konjunkturzyklusmodell zu einem Mehrländermodell generalisiert. In Analogie zu den Ergebnissen der aggregierten Analyse belegen die geschätzten vektorautoregressiven Prozesse mit Markov-Regimewechseln die Bedeutung gemeinsamer Schocks: Obgleich die Synchronisation der Konjunkturzyklen in der Eurozone nicht perfekt ist, können mit der Ausnahme von Finnland für jedes Land simultane Regimewechsel in der mittleren Wachstumsrate identifiziert werden.