Business Cycle Regimes in CEECs Production: A Threshold SURE Approach
AbstractWe use a threshold seemingly unrelated regressions specification to assess whether the Central and East European countries (CEECs) are synchronized in their business cycles to the Euro-area. This specification is useful in two ways: First, it takes into account the common institutional factors and the similarities across CEECs in their process of economic transition. Second, it captures business cycle asymmetries by allowing for the presence of two distinct regimes for the CEECs. As the CEECs are strongly affected by the Euro-area these regimes may be associated with Euro-area expansions and contractions. We discuss representation, estimation by maximum likelihood and inference. The methodology is illustrated by using monthly industrial production in 8 CEECs. The results show that apart from Lithuania the rest of the CEECs experience â€œnormalâ€ growth when the Euro-area contracts and â€œhighâ€ growth when the Euro-area expands. Given that the CEECs are â€œcatching upâ€ with the Euro-area this result shows that most CEECs seem synchronized to the Euro-area cycle. Keywords: Threshold SURE; asymmetry; business cycles; CEECs. JEL classification: C33; C50; E32.
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Bibliographic InfoPaper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 2072/5318.
Date of creation: 2007
Date of revision:
Cicles econòmics; Europa Central; Europa de l'Est; 33 - Economia;
Find related papers by JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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