Advanced Search
MyIDEAS: Login to save this paper or follow this series

Real vs. Nominal Cycles: A Multistate Markov-Switching Bi-Factor Approach

Contents:

Author Info

  • Leiva-Leon, Danilo

Abstract

This paper proposes a probabilistic model based on comovements and nonlinearities useful to assess the type of shock affecting each phase of the business cycle. By providing simultaneous inferences on the phases of real activity and inflation cycles, contractionary episodes are dated and categorized into demand, supply and mix recessions. The impact of shocks originated in the housing market over the business cycle is also assessed, finding that recessions are usually accompanied by housing deflationary pressures, while expansions are mainly influenced by housing demand shocks, with the only exception occurred during the period surrounding the "Great Recession," affected by expansionary housing supply shocks.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/54456/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 54456.

as in new window
Length:
Date of creation: 14 Dec 2013
Date of revision:
Handle: RePEc:pra:mprapa:54456

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Business Cycles; Inflation Cycles; Housing Price Cycles; Dynamics Factors; Markov-Switching.;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
  2. Kim, C-J., 1991. "Dynamic Linear Models with Markov-Switching," Papers, York (Canada) - Department of Economics 91-8, York (Canada) - Department of Economics.
  3. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," NBER Working Papers 15657, National Bureau of Economic Research, Inc.
  4. Camacho, Maximo & Pérez-Quirós, Gabriel, 2009. "Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7343, C.E.P.R. Discussion Papers.
  5. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262112388, December.
  6. Máximo Camacho & Gabriel Pérez-Quirós, 2005. "Jump-and-rest effect of U.S. business cycles," Banco de Espa�a Working Papers, Banco de Espa�a 0507, Banco de Espa�a.
  7. Lippi, Marco & Reichlin, Lucrezia, 1993. "The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment," American Economic Review, American Economic Association, American Economic Association, vol. 83(3), pages 644-52, June.
  8. Peter N. Ireland, 2010. "A New Keynesian Perspective on the Great Recession," Boston College Working Papers in Economics, Boston College Department of Economics 735, Boston College Department of Economics.
  9. Emanuel Moench & Serena Ng, 2011. "A hierarchical factor analysis of U.S. housing market dynamics," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 14(1), pages C1-C24, February.
  10. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
  11. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number burn46-1.
  12. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  13. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  14. Bengoechea, Pilar & Camacho, Maximo & Perez-Quiros, Gabriel, 2006. "A useful tool for forecasting the Euro-area business cycle phases," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(4), pages 735-749.
  15. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  16. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(2), pages 228-48, April.
  17. Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(7), pages 1962-1985, October.
  18. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  19. Kholodilin, Konstantin A. & Yao, Vincent W., 2005. "Measuring and predicting turning points using a dynamic bi-factor model," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(3), pages 525-537.
  20. Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-96, November.
  21. Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2010. "Green shoots in the euro area. A real time measure," Banco de Espa�a Working Papers, Banco de Espa�a 1026, Banco de Espa�a.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. William Barnett & Marcelle Chauvetz & Danilo Leiva-Leonx, . "Real-Time Nowcasting Nominal GDP Under Structural Break," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics 201313, University of Kansas, Department of Economics.
  2. Leiva-Leon, Danilo, 2013. "A New Approach to Infer Changes in the Synchronization of Business Cycle Phases," MPRA Paper 54452, University Library of Munich, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:54456. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.