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Measuring Business Cycles: A Modern Perspective

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Cited by:

  1. Stefan Gerlach & Matthew S. Yiu, 2004. "A Dynamic Factor Model for Current-Quarter Estimates of Economic Activity in Hong Kong," Working Papers 162004, Hong Kong Institute for Monetary Research.
  2. Aikman, David & Kiley, Michael & Lee, Seung Jung & Palumbo, Michael G. & Warusawitharana, Missaka, 2017. "Mapping heat in the U.S. financial system," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 36-64.
  3. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
  4. Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 829-850.
  5. Valentina Aprigliano & Danilo Liberati, 2021. "Using Credit Variables to Date Business Cycle and to Estimate the Probabilities of Recession in Real Time," Manchester School, University of Manchester, vol. 89(S1), pages 76-96, September.
  6. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
  7. DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018. "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-23, June.
  8. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
  9. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
  10. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
  11. Owyang, Michael T. & Piger, Jeremy M. & Wall, Howard J. & Wheeler, Christopher H., 2008. "The economic performance of cities: A Markov-switching approach," Journal of Urban Economics, Elsevier, vol. 64(3), pages 538-550, November.
  12. Paap, Richard & Segers, Rene & van Dijk, Dick, 2009. "Do Leading Indicators Lead Peaks More Than Troughs?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 528-543.
  13. Ubilava, David, 2019. "On The Relationship Between Financial Instability And Economic Performance: Stressing The Business Of Nonlinear Modeling," Macroeconomic Dynamics, Cambridge University Press, vol. 23(1), pages 80-100, January.
  14. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  15. Martínez-Martín, Jaime & Rusticelli, Elena, 2021. "Keeping track of global trade in real time," International Journal of Forecasting, Elsevier, vol. 37(1), pages 224-236.
  16. Kim, Chang-Jin & Piger, Jeremy, 2002. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September.
  17. Weihs, Claus & Röhl, Michael C. & Theis, Winfried, 1999. "Multivariate classification of business phases," Technical Reports 1999,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  18. M Sensier & D van Dijk, 2001. "Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series," Economics Discussion Paper Series 0103, Economics, The University of Manchester.
  19. Michael T. Owyang & Jeremy Piger & Howard J. Wall, 2005. "Business Cycle Phases in U.S. States," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 604-616, November.
  20. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
  21. Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.
  22. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 3(3), pages 311-340, September.
  23. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  24. J. Polzehl & V. Spokoiny & C. Starica, 2004. "When did the 2001 recession really start?," Econometrics 0411017, University Library of Munich, Germany.
  25. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro," Documents de travail du Centre d'Economie de la Sorbonne 09053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  26. Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003. "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 925-955, December.
  27. Shyh-Wei Chen, 2008. "Identifying US turning points revisited: the panel model with the regime switching approach," Applied Economics Letters, Taylor & Francis Journals, vol. 15(11), pages 893-897.
  28. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
  29. Thomas M. FULLERTON & Macie Z. SUBIA, 2017. "Metropolitan Business Cycle Analysis for Lubbock," Journal of Economics and Political Economy, KSP Journals, vol. 4(1), pages 33-52, March.
  30. Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2019. "Characterizing the financial cycle: Evidence from a frequency domain analysis," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 568-591.
  31. Chun-Chang Lee & Chih-Min Liang & Hsing-Jung Chou, 2013. "Identifying Taiwan real estate cycle turning points- An application of the multivariate Markov-switching autoregressive Model," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 3(2), pages 1-1.
  32. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  33. Lota D. Tamini & Jean‐Philippe Gervais, 2005. "Developing Economic Indexes for the Quebec Hog/Pork Industry," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 53(1), pages 1-23, March.
  34. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
  35. Francis X. Diebold & Kamil Yilmaz, 2011. "Equity Market Spillovers in the Americas," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 7, pages 199-214, Central Bank of Chile.
  36. Mark W. Watson, 2005. "Commentary on \\"what's real about the business cycle?\\"," Review, Federal Reserve Bank of St. Louis, vol. 87(Jul), pages 453-458.
  37. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2013. "Conditional Volatility Asymmetry Of Business Cycles: Evidence From Four Oecd Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 33-56, September.
  38. Oleg Korenok & Stanislav Radchenko, 2006. "The role of permanent and transitory components in business cycle volatility moderation," Empirical Economics, Springer, vol. 31(1), pages 217-241, March.
  39. Marcelle Chauvet & James D. Hamilton, 2006. "Dating Business Cycle Turning Points," Contributions to Economic Analysis, in: Nonlinear Time Series Analysis of Business Cycles, pages 1-54, Emerald Group Publishing Limited.
  40. Declan Curran & Michael Funke, 2006. "Taking the Temperature - Forecasting GDP Growth for Mainland China," Quantitative Macroeconomics Working Papers 20606, Hamburg University, Department of Economics.
  41. Grace Lee, 2011. "Aggregate shocks decomposition for eight East Asian countries," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(2), pages 215-232.
  42. Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.
  43. Ludmila Fadejeva & Aleksejs Melihovs, 2008. "The Baltic states and Europe: common factors of economic activity," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 8(1), pages 75-96, October.
  44. Drew Creal & Siem Jan Koopman & Eric Zivot, 2010. "Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
  45. Hans-Martin Krolzig & Michael P. Clements & Department of Economics & University of Warwick, 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 58, University of Oxford, Department of Economics.
  46. Kim, Chang-Jin & Nelson, Charles R, 2001. "A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
  47. Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen [Analysis of business cycle of the Dominican Republic using Markov Switching model]," MPRA Paper 54352, University Library of Munich, Germany.
  48. Javier De Peña & Luis A. Gil-Alana, 2002. "Do Spanish Stock Market Prices Follow a Random Walk?," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra.
  49. Marie Bessec & Othman Bouabdallah, 2015. "Forecasting GDP over the Business Cycle in a Multi-Frequency and Data-Rich Environment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(3), pages 360-384, June.
  50. Shin-ichi Fukuda & Takashi Onodera, 2001. "A New Composite Index of Coincident Economic Indicators in Japan: How can we improve the forecast performance? ," CIRJE F-Series CIRJE-F-101, CIRJE, Faculty of Economics, University of Tokyo.
  51. Graham Elliott & Allan Timmermann, 2016. "Economic Forecasting," Economics Books, Princeton University Press, edition 1, number 10740.
  52. Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2024. "Tracking Weekly State-Level Economic Conditions," The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 483-504, March.
  53. Ken Nyholm & Riccardo Rebonato, 2008. "Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1597-1611.
  54. Cruz-Rodríguez, Alexis, 2005. "Ciclos Económicos Sincronizados y Uniones Monetarias en Centroamérica y la República Dominicana [Business Cycles Synchronisation and Monetary Union in Central American and the Dominican Republic]," MPRA Paper 72104, University Library of Munich, Germany.
  55. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, University Library of Munich, Germany, revised 28 Mar 2005.
  56. Kholodilin Konstantin A., 2005. "Forecasting the German Cyclical Turning Points: Dynamic Bi-Factor Model with Markov Switching," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(6), pages 653-674, December.
  57. Luke Hartigan & James Morley, 2020. "A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 271-293, September.
  58. Christian Glocker & Philipp Wegmueller, 2020. "Business cycle dating and forecasting with real-time Swiss GDP data," Empirical Economics, Springer, vol. 58(1), pages 73-105, January.
  59. Potter Simon M., 2000. "A Nonlinear Model of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(2), pages 1-11, July.
  60. Pami Dua & Vineeta Sharma, 2013. "Measurement And Patterns Of International Synchronization-- A Spectral Approach," Working papers 224, Centre for Development Economics, Delhi School of Economics.
  61. Marjan Petreski, 2010. "An Overhaul of a Doctrine: Has Inflation Targeting Opened a New Era in Developing-country Peggers?," FIW Working Paper series 057, FIW.
  62. Catherine Doz & Laurent Ferrara & Pierre-Alain Pionnier, 2020. "Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model," OECD Statistics Working Papers 2020/01, OECD Publishing.
  63. Oleg Korenok & Stanislav Radchenko, 2004. "Monetary Policy Effect on the Business Cycle Fluctuations: Output vs. Index Measures of the Cycle," Macroeconomics 0409015, University Library of Munich, Germany, revised 20 Sep 2004.
  64. João Valle e Azevedo, 2002. "Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach," Working Papers w200205, Banco de Portugal, Economics and Research Department.
  65. Luke Hartigan & James Morley, 2018. "A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy," RBA Annual Conference Volume (Discontinued), in: John Simon & Maxwell Sutton (ed.),Central Bank Frameworks: Evolution or Revolution?, Reserve Bank of Australia.
  66. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
  67. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, American Economic Association, vol. 100(2), pages 20-24, May.
  68. Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
  69. Agne Reklaite, 2011. "Coincident, leading and recession indexes for the Lithuanian economy," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 91-108, July.
  70. Bruno, Giancarlo & Otranto, Edoardo, 2008. "Models to date the business cycle: The Italian case," Economic Modelling, Elsevier, vol. 25(5), pages 899-911, September.
  71. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Discussion Papers in Economics at the University of Washington 0041, Department of Economics at the University of Washington.
  72. Maximo Camacho & Gabriel Perez‐Quiros & Pilar Poncela, 2015. "Extracting Nonlinear Signals from Several Economic Indicators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1073-1089, November.
  73. Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2010. "Green shoots in the euro area. A real time measure," Working Papers 1026, Banco de España.
  74. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
  75. Gerardo Alberto Villa Durán, 2014. "Un índice coincidente para Medellín," Ensayos Sobre Economía Regional (ESER) 13858, Banco de la República - Economía Regional.
  76. Acemoglu, Daron & Scott, Andrew, 1997. "Asymmetric business cycles: Theory and time-series evidence," Journal of Monetary Economics, Elsevier, vol. 40(3), pages 501-533, December.
  77. Carmen M. Reinhart & Vincent R. Reinhart, 2009. "Capital Flow Bonanzas: An Encompassing View of the Past and Present," NBER Chapters, in: NBER International Seminar on Macroeconomics 2008, pages 9-62, National Bureau of Economic Research, Inc.
  78. Xyngis, Georgios, 2017. "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 43-65.
  79. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
  80. Leiva-Leon Danilo, 2014. "Real vs. nominal cycles: a multistate Markov-switching bi-factor approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 1-24, December.
  81. Konstantin A. KHOLODILIN, 2002. "Unobserved Leading and Coincident Common Factors in the Post-War U.S. Business Cycle," LIDAM Discussion Papers IRES 2002008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  82. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  83. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
  84. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
  85. Francis X. Diebold, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 175-192, Spring.
  86. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
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