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.

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

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

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Konjunktur ; Schock ; Konjunkturzusammenhang ; Markovscher Prozess ; VAR-Modell ; Eurozone ; EU-Staaten

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Krolzig, Hans-Martin
• Ereignis: Veröffentlichung
• (wer): Duncker & Humblot
• (wo): Berlin
• (wann): 2001

Weitere Informationen

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