IDEAS home Printed from https://ideas.repec.org/a/aeq/aeqaeq/v54_y2008_i4_q4_p255-292.html
   My bibliography  Save this article

Analyzing the Swiss Business Cycle

Author

Listed:
  • Alexander Perruchoud

Abstract

This paper sets up a Gibbs sampler for a three state Markov switching model with nonconstant transition probabilities. The step from two to three states is accomplished by the use of a multinomial probit model for the latent variable process. The algorithm is then applied to Swiss GDP data in order to analyze the business cycle. The results suggest Markov switching between three different regimes. Furthermore, evidence for duration dependence in recessions is found, i.e., the longer a recession lasts the more likely it is to end.

Suggested Citation

  • Alexander Perruchoud, 2008. "Analyzing the Swiss Business Cycle," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(4), pages 255-292.
  • Handle: RePEc:aeq:aeqaeq:v54_y2008_i4_q4_p255-292
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

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


    Cited by:

    1. Vitor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-07, GEMF, Faculty of Economics, University of Coimbra.
    2. Alexandra Ferreira-Lopes & Tiago Neves Sequeira, 2012. "Business Cycles Association in a Small Monetary Union: The Case of Switzerland," Spatial Economic Analysis, Taylor & Francis Journals, vol. 7(1), pages 9-30, March.
    3. Vitor Castro, 2013. "The duration of business cycle expansions and contractions: are there change-points in duration dependence?," Empirical Economics, Springer, vol. 44(2), pages 511-544, April.

    More about this item

    Keywords

    Markov switching; Gibbs sampling; multinomial probit model; business cycle; duration dependence;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aeq:aeqaeq:v54_y2008_i4_q4_p255-292. 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: (Deborah Anne Bowen). General contact details of provider: http://www.duncker-humblot.de .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.