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Business confidence and cyclical turning points: a Markov-switching approach

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  • Mark Holmes
  • Brian Silverstone

Abstract

Markov 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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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 17 (2010)
Issue (Month): 3 ()
Pages: 229-233

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Handle: RePEc:taf:apeclt:v:17:y:2010:i:3:p:229-233

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  1. Michael Massmann & James Mitchell & Martin Weale, 2003. "Business Cycles and Turning Points: A Survey of Statistical Techniques," National Institute Economic Review, National Institute of Economic and Social Research, vol. 183(1), pages 90-106, January.
  2. Abdul Abiad, 2003. "Early Warning Systems," IMF Working Papers 03/32, International Monetary Fund.
  3. 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.
  4. 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.
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