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Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area

By Monica Billio, Laurent Ferrara, Dominique Guegan and Gian Luigi Mazzi

Abstract

URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/CESFramDP2009.htmClassification JEL : C22, C52.Soumis à la revue "Manchester School"Documents de travail du Centre d'Economie de la Sorbonne 2009.53 - ISSN : 1955-611XIn this paper, we aim at assessing Markov-switching and threshold models in their ability to identify turning points of economic cycles. By using vintage data that are updated on a monthly basis, we compare their ability to detect ex-post the occurrence of turning points of the classical business cycle, we evaluate the stability over time of the signal emitted by the models and assess their ability to detect in real-time recession signals. In this respect, we have built an historical vintage database for the Euro area going back to 1970 for two monthly macroeconomic variables of major importance for short-term economic outlook, namely the Industrial Production Index and the Unemployment Rate.Dans ce papier, nous comparons les capacités des modèles de Markov Switching et à seuil à détecter les points de retournement au sein du cycle d'activité. Une application est proposée sur des données de la zone Euro, sur une période s'étalant de 1970 jusqu'à 2008. Deux indicateurs économiques sont étudiés : la série du chômage et l'index de production industriel

Topics: industrial production, Business cycle, Euro zone, Markov switching model, SETAR model, unemployment, industrial production., Cycle d'activité, zone Euro, modèle de Markov Switching, modèle à seuil, chômage, production industrielle., [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.STAT]Humanities and Social Sciences/Methods and statistics, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]
Publisher: HAL CCSD
Year: 2009
OAI identifier: oai:HAL:halshs-00423890v1

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