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The contribution of cyclical turning point indicators to business cycle analysis

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  • Ferrara, L.

Abstract

Two indicators are proposed: the fi rst is the probabilistic indicator of the acceleration cycle (IPCA – indicateur probabiliste du cycle d’accélération), which aims to detect economic acceleration and deceleration phases. The second is the probabilistic industrial recession indicator (IPRI – indicateur probabiliste de récession industrielle), which aims to estimate the probability of a recession in the industrial sector.

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File URL: http://www.banque-france.fr/gb/publications/telechar/bulletin/qsa/qsa13/qsa13etud_4.pdf
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Bibliographic Info

Article provided by Banque de France in its journal Quarterly selection of articles - bulletin de la Banque de France.

Volume (Year): (2008)
Issue (Month): 13 (Autumn)
Pages: 49-61

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Handle: RePEc:bfr:quarte:2008:13:04

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research

Keywords: economic cycles; turning points; acceleration cycle; probabilistic indicators; Markov chain models.;

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References

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  1. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
  2. Victor Zarnowitz & Ataman Ozyildirim, 2001. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," Economics Program Working Papers 01-03, The Conference Board, Economics Program.
  3. Bellone, B. & Gautier, E. & Le Coent, S., 2005. "Les marchés financiers anticipent-ils les retournements conjoncturels?," Working papers 128, Banque de France.
  4. Jean-Philippe Cotis & Jonathan Coppel, 2005. "Business Cycle Dynamics in OECD Countries: Evidence, Causes and Policy Implications," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  5. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Working papers 187, Banque de France.
  6. Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers 222, Banque de France.
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Cited by:
  1. Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
  2. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.

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