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Business Cycles around the Globe: A Regime Switching Approach

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  • Sumru Altug

    ()
    (Koc University)

  • Melike Bildirici

Abstract

This paper characterizes business cycle phenomena in a sample of 22 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each country in question. The paper also provides a comparison of the business cycle turning points implied by this study and those derived in other studies and by other methods. Our findings document the importance of heterogeneity of individual countries’ experiences. We also argue that consideration of a large and diverse group of countries provides an alternative perspective on the co-movement of aggregate economic activity worldwide.

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File URL: http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1009.pdf
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Bibliographic Info

Paper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD Economic Research Forum Working Papers with number 1009.

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Length: 65 pages
Date of creation: Mar 2010
Date of revision:
Handle: RePEc:koc:wpaper:1009

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Keywords: Markov switching approach; business cycles; turning point analysis; nonparametric modelling;

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References

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Citations

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Cited by:
  1. Sumru Altug & Erhan Uluceviz, 2011. "Leading Indicators of Real Activity and Inflation for Turkey, 2001-2010," Koç University-TUSIAD Economic Research Forum Working Papers 1134, Koc University-TUSIAD Economic Research Forum.
  2. Sumru Altug & Mustafa Emin & Bilin Neyapti, 2011. "Institutions and Business Cycles," Koç University-TUSIAD Economic Research Forum Working Papers 1109, Koc University-TUSIAD Economic Research Forum.
  3. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz, 2012. "Connectedness Cycles in Equity Markets: A Wavelet Approach," EcoMod2012 4502, EcoMod.
  4. Sumru Altug & Serdar Kabaca & Meltem Poyraz, 2011. "Search Frictions, Financial Frictions and Labor Market Fluctuations in Emerging Economies," Koç University-TUSIAD Economic Research Forum Working Papers 1136, Koc University-TUSIAD Economic Research Forum.
  5. repec:hal:wpaper:halshs-00692038 is not listed on IDEAS
  6. Cohen, Daniel & Villemot, Sébastien, 2012. "The Sovereign Default Puzzle: Modelling Issues and Lessons for Europe," CEPR Discussion Papers 8971, C.E.P.R. Discussion Papers.
  7. Afanasyeva, Elena, 2013. "Atypical behavior of credit: Evidence from a monetary VAR," IMFS Working Paper Series 70, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.

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