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A chronology of international business cycles through non-parametric decoding

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  • Hsieh Fushing
  • Shu-Chun Chen
  • Travis J. Berge
  • Òscar Jordà

Abstract

This 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 Info

Paper provided by Federal Reserve Bank of Kansas City in its series Research Working Paper with number RWP 11-13.

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Date of creation: 2010
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Handle: RePEc:fip:fedkrw:rwp11-13

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  1. M. Ayhan Kose & Eswar Prasad & Christopher Otrok, 2008. "Global Business Cycles," IMF Working Papers 08/143, International Monetary Fund.
  2. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
  3. Travis Berge & Oscar Jorda, 2009. "The Classification of Economic Activity into Expansions and Recessions," Working Papers 918, University of California, Davis, Department of Economics.
  4. M. Ayhan Kose & Eswar Prasad & Marco Terrones, 2003. "How Does Globalization Affect the Synchronization of Business Cycles?," IMF Working Papers 03/27, International Monetary Fund.
  5. James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
  6. Steve Ambler & Emanuela Cardia & Christian Zimmermann, 1999. "International Business Cycles: What are the Facts?," Cahiers de recherche CREFE / CREFE Working Papers 90, CREFE, Université du Québec à Montréal.
  7. Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-61, December.
  8. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
  9. Klaus Nordhausen, 2009. "The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition by Trevor Hastie, Robert Tibshirani, Jerome Friedman," International Statistical Review, International Statistical Institute, vol. 77(3), pages 482-482, December.
  10. Hsieh Fushing & Chen Shu-Chun & Pollard Katherine, 2009. "A Nearly Exhaustive Search for CpG Islands on Whole Chromosomes," The International Journal of Biostatistics, De Gruyter, vol. 5(1), pages 1-24, May.
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Cited by:
  1. Adrian Pagan, 2013. "Patterns and Their Uses," NCER Working Paper Series 96, National Centre for Econometric Research.
  2. Travis Berge & Òscar Jordà, 2013. "A chronology of turning points in economic activity: Spain, 1850–2011," SERIEs, Spanish Economic Association, vol. 4(1), pages 1-34, March.

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