A Chronology of International Business Cycles Through Non-parametric Decoding
AbstractThis paper introduces a new empirical strategy for the characterization of business cycles. It combines non-parametric decoding methods that classify a series into expansions and recessions but does not require specification of the underlying stochastic process generating the data. It then uses network analysis to combine the signals obtained from different economic indicators to generate a unique chronology. These methods generate a record of peak and trough dates comparable, and in one sense superior, to the NBER’s own chronology. The methods are then applied to 22 OECD countries to obtain a global business cycle chronology.
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Bibliographic InfoPaper provided by University of California, Davis, Department of Economics in its series Working Papers with number 1020.
Date of creation: 08 Nov 2010
Date of revision:
decoding; hierarchical factor segmentation; network analysis; business cycles;
Other versions of this item:
- Hsieh Fushing & Shu-Chun Chen & Travis J. Berge & Òscar Jordà, 2010. "A chronology of international business cycles through non-parametric decoding," Research Working Paper RWP 11-13, Federal Reserve Bank of Kansas City.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
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.:
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