Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model

Author/Editor:

Zenon Kontolemis

Publication Date:

August 1, 1999

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov process. The procedure is applied to the series that make up the composite U.S. coincident indicator to obtain business cycle turning points. The business cycle chronology is closer to the NBER reference cycle than the turning points obtained from the individual series using a univariate model. The model is also used to forecast the series, with encouraging results.

Series:

Working Paper No. 99/107

Subject:

English

Publication Date:

August 1, 1999

ISBN/ISSN:

9781451852967/1018-5941

Stock No:

WPIEA1071999

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

19

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