Advanced Search
MyIDEAS: Login

Modeling Business Cycles In The Romanian Economy Using The Markov Switching Approach

Contents:

Author Info

  • Caraiani, Petre

    ()
    (Institute for Economic Forecasting, Romanian Academy.)

Registered author(s):

    Abstract

    I use the Markov Switching AR approach to model the business cycles in Romanian economy for the 1991-2008 period using monthly data on industrial production. The time series used allows for a comparison with previous dating of Romanian business cycles. Generally, the MS-AR performs well, confirming the previous finding about turning points in business cycles during the transition period. At the same time, it suggests that the ongoing recession started earlier than conventionally thought and that it may last more than a year and a half.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.ipe.ro/rjef/rjef1_10/rjef1_10_10.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

    Volume (Year): (2010)
    Issue (Month): 1 (March)
    Pages: 130-136

    as in new window
    Handle: RePEc:rjr:romjef:v::y:2010:i:1:p:130-136

    Contact details of provider:
    Postal: Casa Academiei, Calea 13, Septembrie nr.13, sector 5, Bucureşti 761172
    Phone: 004 021 3188148
    Fax: 004 021 3188148
    Email:
    Web page: http://www.ipe.ro/
    More information through EDIRC

    Related research

    Keywords: business cycles; Markov switching; nonlinear methods; transition economies; mathematical methods;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Purica, Ionut & Caraiani, Petre, 2009. "Second Order Dynamics Of Economic Cycles," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(1), pages 36-47, March.
    2. Albu, Lucian Liviu, 2001. "Evolution Of Inflation-Unemployment Relationship In The Perspective Of Romania’S Accession To Eu," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-23, December.
    3. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
    4. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    5. Caraiani, Petre, 2004. "Nominal And Real Stylized Facts Of The Business Cycles In Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 1(4), pages 121-132, December.
    6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Cristi SPULBAR & Mihai NITOI & Cristian STANCIU, 2012. "Identifying The Industry Business Cycle Using The Markov Switching Approach In Central And Eastern Europe," Management and Marketing Journal, University of Craiova, Faculty of Economics and Business Administration, vol. 0(2), pages 293-300, November.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2010:i:1:p:130-136. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corina Saman).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.