Arbeitspapier

Business cycle duration dependence and foreign recessions

We estimate business cycle regime switching logit models for G7 countries to determine the effect of duration of the current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With respect to expansions in a G7 country, we find that the probability they end roughly doubles each time another G7 country falls into a recession. We also find that expansions in the US and Germany are duration dependent, i.e. are more likely to end as they grow older. This contrasts with other G7 countries where expansions are not duration dependent. With respect to recessions in a G7 country, we find that the likelihood of them coming to an end is not affected by other G7 countries' recessions. We find duration dependence of recessions for all G7 countries, i.e. recessions that have gone on for a while are more likely to end.

ISBN
978-92-899-3310-0
Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 2205

Klassifikation
Wirtschaft
Business Fluctuations; Cycles
Duration Analysis; Optimal Timing Strategies
Thema
Duration dependence
Recessions
Regime switching logit model
Business cycles

Ereignis
Geistige Schöpfung
(wer)
de Bondt, Gabe J.
Vermeulen, Philip
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2018

DOI
doi:10.2866/834475
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • de Bondt, Gabe J.
  • Vermeulen, Philip
  • European Central Bank (ECB)

Entstanden

  • 2018

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