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Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
[A start-end recession index: Application for United-States]

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Author Info
Anas, Jacques
Ferrara, Laurent

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Abstract

This working paper presents a new coincident economic indicator developed by the COE, able to detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic time series carefully chosen. The filtered probabilities stemming from these series are combined by taking into account the risks of false signals in order to provide a recession probability. This new indicator fruitfully completes the leading indicator IARC, released monthly by the COE, which aims at forecasting the fluctuations of the growth cycle. It is planned to apply this new indicator to the eurozone in the next future.

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File URL: http://mpra.ub.uni-muenchen.de/4043/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 4043.

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Date of creation: 30 Jul 2002
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Handle: RePEc:pra:mprapa:4043

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Related research
Keywords: recession; Markov-switching; USA; real-time indicator;

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

References listed on IDEAS
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  1. Massimiliano Marcellino & Grayham E. Mizon & Hans-Martin Krolzig, 2002. "A Markov-switching vector equilibrium correction model of the UK labour market," Empirical Economics, Springer, vol. 27(2), pages 233-254. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005. [Downloadable!]
  2. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany. [Downloadable!]
  3. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA. [Downloadable!]
  4. Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, EconWPA. [Downloadable!]
  5. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA. [Downloadable!]
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