Download or read book Dating Business Cycle Turning Points written by Marcelle Chauvet and published by . This book was released on 2005 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper discusses formal quantitative algorithms that can be used to identify business cycle turning points. An intuitive, graphical derivation of these algorithms is presented along with a description of how they can be implemented making very minimal distributional assumptions. We also provide the intuition and detailed description of these algorithms for both simple parametric univariate inference as well as latent-variable multiple-indicator inference using a state-space Markov-switching approach. We illustrate the promise of this approach by reconstructing the inferences that would have been generated if parameters had to be estimated and inferences drawn based on data as they were originally released at each historical date. Waiting until one extra quarter of GDP growth is reported or one extra month of the monthly indicators released before making a call of a business cycle turning point helps reduce the risk of misclassification. We introduce two new measures for dating business cycle turning points, which we call the "quarterly real-time GDP-based recession probability index" and the "monthly real-time multiple-indicator recession probability index" that incorporate these principles. Both indexes perform quite well in simulation with real-time data bases. We also discuss some of the potential complicating factors one might want to consider for such an analysis, such as the reduced volatility of output growth rates since 1984 and the changing cyclical behavior of employment. Although such refinements can improve the inference, we nevertheless find that the simpler specifications perform very well historically and may be more robust for recognizing future business cycle turning points of unknown character"--National Bureau of Economic Research web site.
Download or read book Business Conditions Digest written by and published by . This book was released on 1980 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cyclical Analysis of Time Series written by Gerhard Bry and published by . This book was released on 1971 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Study of programmed procedures in economic research and statistical method with regard to computerised analysis of cyclical turning points relative to business cycles. References.
Download or read book Dating New Zealand Business Cycles written by Kunhong Kim and published by . This book was released on 1994 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Comparison of the Real time Performance of Business Cycle Dating Methods written by Marcelle Chauvet and published by . This book was released on 2005 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissecting the Cycle written by Allan Donald Harding and published by . This book was released on 1999 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonlinear Time Series Analysis of Business Cycles written by C. Milas and published by Emerald Group Publishing. This book was released on 2006-02-08 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?
Download or read book A Comparison of the Real Time Performance of Business Cycle Dating Methods written by Marcelle Chauvet and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. In order to accurately assess the real-time performance of these rules, we construct a new unrevised "real-time" data set of employment, industrial production, manufacturing and trade sales, and personal income. We then apply the rules to this data set to simulate the accuracy and timeliness with which they would have identified the NBER business cycle chronology had they been used in real time for the past 30 years. Both approaches accurately identified the NBER dated turning points in the sample in real time, with no instances of false positives. Further, both approaches, and especially the Markov-switching model, yielded significant improvement over the NBER in the speed with which business cycle troughs were identified. In addition to suggesting that business cycle dating rules are an informative tool to use alongside the traditional NBER analysis, these results provide formal evidence regarding the speed with which macroeconomic data reveals information about new business cycle phases.
Download or read book The Euro Area Business Cycle written by Lucrezia Reichlin and published by Centre for Economic Policy Research. This book was released on 2004 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analysis of Economic Time Series written by Marc Nerlove and published by Academic Press. This book was released on 2014-05-10 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Download or read book Forecasting and Recognizing Business Cycle Turning Points written by Rendigs Fels and published by . This book was released on 1968 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: 2-part assessment of research methods in respect of forecasting periods of economic recession and economic growth, with particular reference to the USA - comprises (1) an investigation of problems in economic research of forecasting and recognising business cycle peaks and troughs, and (2) an evaluation of the performance of the federal open market committee of the u.s.a. In anticipating and recognising 7 cyclical turns since the 2nd world war. References.
Download or read book Business Cycles written by Victor Zarnowitz and published by University of Chicago Press. This book was released on 2007-11-01 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the most complete collection available of the work of Victor Zarnowitz, a leader in the study of business cycles, growth, inflation, and forecasting.. With characteristic insight, Zarnowitz examines theories of the business cycle, including Keynesian and monetary theories and more recent rational expectation and real business cycle theories. He also measures trends and cycles in economic activity; evaluates the performance of leading indicators and their composite measures; surveys forecasting tools and performance of business and academic economists; discusses historical changes in the nature and sources of business cycles; and analyzes how successfully forecasting firms and economists predict such key economic variables as interest rates and inflation.
Download or read book Business Cycles written by Wesley Clair Mitchell and published by National Bureau of Economic Research. This book was released on 1927 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The American Business Cycle written by Robert J. Gordon and published by University of Chicago Press. This book was released on 2007-11-01 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades the American economy has experienced the worst peace-time inflation in its history and the highest unemployment rate since the Great Depression. These circumstances have prompted renewed interest in the concept of business cycles, which Joseph Schumpeter suggested are "like the beat of the heart, of the essence of the organism that displays them." In The American Business Cycle, some of the most prominent macroeconomics in the United States focuses on the questions, To what extent are business cycles propelled by external shocks? How have post-1946 cycles differed from earlier cycles? And, what are the major factors that contribute to business cycles? They extend their investigation in some areas as far back as 1875 to afford a deeper understanding of both economic history and the most recent economic fluctuations. Seven papers address specific aspects of economic activity: consumption, investment, inventory change, fiscal policy, monetary behavior, open economy, and the labor market. Five papers focus on aggregate economic activity. In a number of cases, the papers present findings that challenge widely accepted models and assumptions. In addition to its substantive findings, The American Business Cycle includes an appendix containing both the first published history of the NBER business-cycle dating chronology and many previously unpublished historical data series.
Download or read book The Austrian Business Cycle in the European Context written by Marcus Scheiblecker and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book What Happens During Recessions Crunches and Busts written by Mr.Ayhan Kose and published by International Monetary Fund. This book was released on 2008-12-01 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles for 21 OECD countries over the period 1960–2007. In particular, we analyze the implications of 122 recessions, 112 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 234 (58) episodes of equity price declines (busts) and their various overlaps in these countries over the sample period. Our results indicate that interactions between macroeconomic and financial variables can play major roles in determining the severity and duration of recessions. Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions. JEL Classification Numbers: E32; E44; E51; F42
