Markov-Switching Procedures for Dating the Euro-Zone Business Cycle

Artikel

This paper addresses the issues of identification and dating of the Euro-zone business cycle by using the Markov-switching approach innovated by Hamilton in his analysis of the US business cycle. Regime shifts in the stochastic process of economic growth in the Euro-zone are identified by fitting Markov-switching models to aggregated and single-country Euro-zone real GDP growth data of the last two decades. The models are found to be statistically congruent and economically meaningful. Based of the smoothed regime probabilities from the Markov-switching models the Euro-zone business cycle is dated and recessions from 1980Q1 to 1981Q1 and 1992Q3 to 1993Q2 are revealed. A Markov-switching vector autoregression of real GDP growth rates in eight EMU member states shows that while the business cycles in the Euro-zone have not been perfectly synchronized over the last two decades, the overall evidence for the presence of a common Euro-zone cycle is strong.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Vierteljahrshefte zur Wirtschaftsforschung ; ISSN: 1861-1559 ; Volume: 70 ; Year: 2001 ; Issue: 3 ; Pages: 339-351 ; Berlin: Duncker & Humblot

Classification and Topics

• Classification: Wirtschaft
• Subject: Konjunktur ; Schock ; Konjunkturzusammenhang ; Markovscher Prozess ; VAR-Modell ; Eurozone ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Krolzig, Hans-Martin
• Event: Veröffentlichung
• (who): Duncker & Humblot
• (where): Berlin
• (when): 2001

Further information

• DOI: doi:10.3790/vjh.70.3.339
• Handle: http://hdl.handle.net/10419/99219