Turning point chronology for the euro area: A distance plot approach
We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the conce...
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| Other Authors: | , |
| Format: | Electronic Book Chapter |
| Language: | English |
| Published: |
Paris
OECD Publishing
2014
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| Subjects: | |
| Online Access: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Summary: | We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the concept of recurrence plots on the US Industrial Production Index (IPI) series; this serves as a benchmark for our analysis since it already contains a reference chronology for the US business cycle, as provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept to construct a turning point chronology for the euro area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator. Keywords: economic cycles; euro area; recurrence plots; turning points JEL classification: C14, C40, E32 |
| Physical Description: | 1 Online-Ressource (14 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2014-5jxwz80d73q8 |
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| spelling | Addo, Peter Martey Verfasser aut Turning point chronology for the euro area A distance plot approach Peter Martey Addo, Monica Billio and Dominique Guégan Paris OECD Publishing 2014 1 Online-Ressource (14 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the concept of recurrence plots on the US Industrial Production Index (IPI) series; this serves as a benchmark for our analysis since it already contains a reference chronology for the US business cycle, as provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept to construct a turning point chronology for the euro area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator. Keywords: economic cycles; euro area; recurrence plots; turning points JEL classification: C14, C40, E32 Economics Euro Area Billio, Monica ctb Guégan, Dominique ctb https://doi.org/10.1787/jbcma-2014-5jxwz80d73q8 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Addo, Peter Martey Turning point chronology for the euro area A distance plot approach Economics Euro Area |
| title | Turning point chronology for the euro area A distance plot approach |
| title_auth | Turning point chronology for the euro area A distance plot approach |
| title_exact_search | Turning point chronology for the euro area A distance plot approach |
| title_exact_search_txtP | Turning point chronology for the euro area A distance plot approach |
| title_full | Turning point chronology for the euro area A distance plot approach Peter Martey Addo, Monica Billio and Dominique Guégan |
| title_fullStr | Turning point chronology for the euro area A distance plot approach Peter Martey Addo, Monica Billio and Dominique Guégan |
| title_full_unstemmed | Turning point chronology for the euro area A distance plot approach Peter Martey Addo, Monica Billio and Dominique Guégan |
| title_short | Turning point chronology for the euro area |
| title_sort | turning point chronology for the euro area a distance plot approach |
| title_sub | A distance plot approach |
| topic | Economics Euro Area |
| topic_facet | Economics Euro Area |
| url | https://doi.org/10.1787/jbcma-2014-5jxwz80d73q8 |
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