Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model:
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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
1999
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 99/107 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (19 p) |
| ISBN: | 1451852967 9781451852967 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:24Z |
| indexdate | 2024-07-10T09:35:33Z |
| institution | BVB |
| isbn | 1451852967 9781451852967 |
| language | English |
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| open_access_boolean | |
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| physical | 1 Online-Ressource (19 p) |
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| publisher | International Monetary Fund |
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| spelling | Kontolemis G., Zenon Verfasser aut Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model Kontolemis G., Zenon Washington, D.C International Monetary Fund 1999 1 Online-Ressource (19 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 99/107 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 Online-Ausg http://elibrary.imf.org/view/IMF001/00295-9781451852967/00295-9781451852967/00295-9781451852967.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kontolemis G., Zenon Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model |
| title | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model |
| title_auth | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model |
| title_exact_search | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model |
| title_exact_search_txtP | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model |
| title_full | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model Kontolemis G., Zenon |
| title_fullStr | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model Kontolemis G., Zenon |
| title_full_unstemmed | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model Kontolemis G., Zenon |
| title_short | Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model |
| title_sort | analysis of the u s business cycle with a vector markov switching model |
| url | http://elibrary.imf.org/view/IMF001/00295-9781451852967/00295-9781451852967/00295-9781451852967.xml |
| work_keys_str_mv | AT kontolemisgzenon analysisoftheusbusinesscyclewithavectormarkovswitchingmodel |