Measuring and Predicting Heterogeneous Recessions

Arbeitspapier

This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’ recessions. All downturnsstart with a mild decline in the level of economic activity. Contractions thatdevelop into severe recessions mostly correspond with periods of substantialcredit squeezes as suggested by the ‘financial accelerator’ theory. MultivariateMarkov-switching models that allow for phase shifts between the cyclicalregimes of industrial production and the Conference Board Leading EconomicIndex confirm these findings.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 11-154/4

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Business Fluctuations; Cycles
• Subject: Business cycle ; phase shifts ; regime-switching models ; Bayesian analysis ; Konjunktur ; Markovscher Prozess ; Bayes-Statistik ; Schätzung ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Cakmakli, Cem ; Paap, Richard ; van Dijk, Dick
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/87570
• Last update: 10.03.2025, 11:44 AM CET