Detecting turning points in global economic activity

Arbeitspapier

We present non-linear models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2017. We first estimate Markov Switching models within a univariate framework. These models support the relevance of three business cycle regimes (recessions, low growth and high growth) for economic activity at the global level and in advanced and emerging economies. In a second part, we find that the regimes of the Markov Switching models can be well explained with activity, survey and commodity price variables within a discrete choice framework, specifically multinomial logit models, therefore reinforcing the economic interpretation of the regimes.

Object Details

• ISBN: 978-92-899-3879-2
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2310

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models ; Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions ; Business Fluctuations; Cycles
• Subject: Global GDP ; Markov Switching ; multinomial logit ; turning points

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Baumann, Ursel ; Gómez Salvador, Ramón ; Seitz, Franz
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2019

Further information

• DOI: doi:10.2866/48191
• Handle: http://hdl.handle.net/10419/208344
• Last update: 10.03.2025, 11:45 AM CET