Business confidence and cyclical turning points: a Markov-switching approach
AbstractMarkov regime-switching analysis is used to consider the relationship between business confidence and the probability of turning points in cyclical GDP. We find, in an application to New Zealand, that confidence is related to both the deepness and duration of the business cycle and is asymmetric regarding the probability of the economy remaining in a given regime. Overall, the New Zealand business confidence series is a useful indicator of cyclical turning points.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 17 (2010)
Issue (Month): 3 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
Other versions of this item:
- Mark J. Holmes & Brian Silverstone, 2007. "Business Confidence and Cyclical Turning Points: A Markov-Switching Approach," Working Papers in Economics 07/19, University of Waikato, Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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.:
- 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.
- Bob McNabb & Karl Taylor, 2002.
"Business Cycles and the Role of Confidence: Evidence from Europe,"
Discussion Papers in Economics
02/3, Department of Economics, University of Leicester.
- Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04.
- Abdul Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
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