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Analyzing the Swiss Business Cycle

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Author Info

  • Alexander Perruchoud

Abstract

This paper sets up a Gibbs sampler for a three state Markov switching model with nonconstant transition probabilities. The step from two to three states is accomplished by the use of a multinomial probit model for the latent variable process. The algorithm is then applied to Swiss GDP data in order to analyze the business cycle. The results suggest Markov switching between three different regimes. Furthermore, evidence for duration dependence in recessions is found, i.e., the longer a recession lasts the more likely it is to end.

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Bibliographic Info

Article provided by Duncker & Humblot, Berlin in its journal Applied Economics Quarterly.

Volume (Year): 54 (2008)
Issue (Month): 4 ()
Pages: 255-292

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Handle: RePEc:aeq:aeqaeq:v54_y2008_i4_q4_p255-292

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Web page: http://www.duncker-humblot.de

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Web: http://www.duncker-humblot.de/index.php/zeitschriften/wirtschafts-undsozialwissenschaften/appliedeconomicsquarterly.html

Related research

Keywords: Markov switching; Gibbs sampling; multinomial probit model; business cycle; duration dependence;

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Cited by:
  1. Vítor Castro, 2010. "The duration of business cycle expansions and contractions: Are there change-points in duration dependence?," NIPE Working Papers 24/2010, NIPE - Universidade do Minho.
  2. Vitor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-07, GEMF - Faculdade de Economia, Universidade de Coimbra.

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