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Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area

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Author Info
Michael Artis
Massimiliano Marcellino
Tommaso Proietti

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Abstract

This paper proposes a dating algorithm based on an appropriately defined Markov chain that enforces alternation of peaks and troughs, and duration constraints concerning the phases and the full cycle. The algorithm, which implements Harding and Pagan's non-parametric dating methodology, allows an assessment of the uncertainty of the estimated turning points caused by filtering and can be used to construct indices of business cycle diffusion, aiming at assessing how widespread are cyclical movements throughout the economy. Its adaptation to the notion of a deviation cycle and the imposition of depth constraints are also discussed. We illustrate the algorithm with reference to the issue of dating the euro-area business cycle and analysing its characteristics, both from the classical and the growth cycle perspectives. Copyright 2004 Blackwell Publishing Ltd.

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.

Volume (Year): 66 (2004)
Issue (Month): 4 (09)
Pages: 537-565
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Handle: RePEc:bla:obuest:v:66:y:2004:i:4:p:537-565

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  1. Gogas, Periklis & Kothroulas, George, 2009. "Two speed Europe and business cycle synchronization in the European Union: The effect of the common currency," MPRA Paper 13909, University Library of Munich, Germany. [Downloadable!]
  2. Beate Schirwitz, 2009. "A comprehensive German business cycle chronology," Empirical Economics, Springer, vol. 37(2), pages 287-301, October. [Downloadable!] (restricted)
  3. Heather Anderson & Mardi Dungey & Denise R. Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," CAMA Working Papers 2007-18, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    Other versions:
  4. Tommaso Proietti & Cecilia Frale, 2007. "New proposals for the quantification of qualitative survey data," CEIS Research Paper 98, Tor Vergata University, CEIS. [Downloadable!]
  5. Tommaso Proietti, 2006. "On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," CEIS Research Paper 84, Tor Vergata University, CEIS. [Downloadable!]
    Other versions:
  6. Funke, Michael, 2005. "Inflation in mainland China – modelling a roller coaster ride," BOFIT Discussion Papers 6/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    Other versions:
  7. Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005. "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers 2006,02, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  8. Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006 175, Society for Computational Economics. [Downloadable!]
  9. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
  10. Proietti, Tommaso, 2008. "Structural Time Series Models for Business Cycle Analysis," MPRA Paper 6854, University Library of Munich, Germany. [Downloadable!]
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  11. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Banco de España Working Papers 0518, Banco de España. [Downloadable!]
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