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Analysis Of Business Cycles Convergence In A Switching Regime View

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  • ALUPOAIEI IANCU Alexie Ciprian

    (Academy of Economic Studies, Bucharest)

Abstract

In this paper I analyzed the convergence between Romanian and Euro Zone`s business cycles using a Switching approach. Considering the evolution of final consumption expenditure as proxy for the business cycles, the underlying study is calibrated on the second key feature of Burns and Mitchell`s (1946) definition about business cycles, namely the cycles are divided and also treated differently for cases of expansionary and downward regimes. Therefore a cyclical convergence between Romanian and Euro Zone`s business cycles is characterized by synchronization in the occurrence of different regimes (states) and also in the time for which these regimes are standing up. For this purpose, I called a Markov Switching model in order to estimate the probability of being in economic expansion or recessions for both business cycles. In that sense, I use both a Hamiltonian approach and a standard AR parametisation for dependent variable`s dynamics. Additionally, the Markov Switching analysis was completed by a Bayesian Switching approach in order to cross check the statistical significance of resulted estimates. Also other econometric and statistical methods were engaged to verify the accuracy of obtained information.

Suggested Citation

  • ALUPOAIEI IANCU Alexie Ciprian, 2012. "Analysis Of Business Cycles Convergence In A Switching Regime View," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 0(1), pages 19-24.
    • Handle: RePEc:blg:reveco:v:supplement:y:2012:i:1:p:19-24
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    File URL: http://economice.ulbsibiu.ro/revista.economica/archive/suplimente/Volume1-2012.pdf
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    More about this item

    Keywords

    Business Cycles; consumption expenditure; convergence; permanent income; filter; correlation.;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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