Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model
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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. 1999/107
Subject:
Business cycles Cyclical indicators Economic growth External position Industrial production International investment position National accounts Personal income Production
English
Publication Date:
August 1, 1999
ISBN/ISSN:
9781451852967/1018-5941
Stock No:
WPIEA1071999
Pages:
19
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