The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model
In the article dating method for the four phases of economic activity is presented. Comparison of probabilities of recession occurrence in Poland based on the Hamilton switching model and the logit model was conducted in the empirical research. The study shows the convergence of indications based both on the proposed dating method and on the Hamilton model. In the presented version the Hamilton model adequately describes the probability of occurrence of two decline phases. The logit model allows to obtain satisfactory results for the division on four phases of economic activity. However, in the domain of the Polish economy, more research is needed in recognising the symptomatic properties of various macroeconomic indicators. The interest rate spread, used successfully in advanced marked economies, continues to alter its characteristics under Polish economic conditions and is currently not the best possible indicator forecasting a recession.
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.:
- Henri Nyberg, 2010. "Dynamic probit models and financial variables in recession forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 215-230.
- Zarnowitz, Victor & Ozyildirim, Ataman, 2006.
"Time series decomposition and measurement of business cycles, trends and growth cycles,"
Journal of Monetary Economics,
Elsevier, vol. 53(7), pages 1717-1739, October.
- Victor Zarnowitz & Ataman Ozyildirim, 2002. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," NBER Working Papers 8736, National Bureau of Economic Research, Inc.
- Victor Zarnowitz & Ataman Ozyildirim, 2001. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," Economics Program Working Papers 01-03, The Conference Board, Economics Program.
- Train,Kenneth E., 2009.
"Discrete Choice Methods with Simulation,"
Cambridge University Press, number 9780521766555, October.
- Atta-Mensah, Joseph & Tkacz, Greg, 1998. "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Staff Working Papers 98-5, Bank of Canada.
- Arturo Estrella & Gikas A. Hardouvelis, 1989.
"The term structure as a predictor of real economic activity,"
8907, Federal Reserve Bank of New York.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
- Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
When requesting a correction, please mention this item's handle: RePEc:cpn:umkdem:v:12:y:2012:p:73-88. 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: (Miroslawa Buczynska)
If references are entirely missing, you can add them using this form.