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Detecting Cyclical Turning Points: The ABCD Approach and Two Probabilistic Indicators

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  • Jacques Anas

    ()

  • Laurent Ferrara

    ()

Abstract

The intricate issue of detecting and forecasting macroeconomic cycles turning points has been once more perfectly illustrated with the global downturn experienced by most countries around the world in 2000-2001. Governments and Central Banks are very sensitive to economic indicators showing signs of deterioration in order to adjust their policies sufficiently in advance to avoid further deterioration or even a recession. These indicators require at least two qualities: they must be reliable and they must provide a readable signal as soon as possible. In this paper, we discuss ...

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File URL: http://dx.doi.org/10.1787/jbcma-v2004-art12-en
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Bibliographic Info

Article provided by OECD Publishing,CIRET in its journal Journal of Business Cycle Measurement and Analysis.

Volume (Year): 2004 (2004)
Issue (Month): 2 ()
Pages: 193-225

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Handle: RePEc:oec:stdkaa:5lmqcr2jcpbw

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Related research

Keywords: Classical and growth cycle; Peak and trough; Turning point; Probabilistic indicators; Forecasting;

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Cited by:
  1. Mendoza, Liu & Morales, Daniel, 2012. "Constructing a real-time coincident recession index: an application to the Peruvian economy," Working Papers, Banco Central de Reserva del Perú 2012-020, Banco Central de Reserva del Perú.
  2. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, Elsevier, vol. 81(3), pages 373-378, December.
  3. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers, Banque de France 259, Banque de France.
  4. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
  5. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Emanuel Mönch & Harald Uhlig, 2005. "Towards a Monthly Business Cycle Chronology for the Euro Area," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, OECD Publishing,CIRET, vol. 2005(1), pages 43-69.
  7. Monica Billio & Roberto Casarin & Domenico Sartore, 2007. "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers 2007_34, Department of Economics, University of Venice "Ca' Foscari".
  8. Mendoza, Liu & Morales, Daniel, 2013. "Construyendo un índice coincidente de recesión: Una aplicación para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, Banco Central de Reserva del Perú, issue 26, pages 81-100.
  9. Sergey Smirnov, 2011. "Those Unpredictable Recessions," HSE Working papers, National Research University Higher School of Economics WP BRP 02/EC/2011, National Research University Higher School of Economics.
  10. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers, University of Brescia, Department of Economics 0815, University of Brescia, Department of Economics.
  11. 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".
  12. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, Department of Economics, University of Venice "Ca' Foscari".

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