IDEAS home Printed from https://ideas.repec.org/a/oec/stdkaa/5lmqcr2jcpbw.html
   My bibliography  Save this article

Detecting Cyclical Turning Points: The ABCD Approach and Two Probabilistic Indicators

Author

Listed:
  • Jacques Anas

    ()

  • Laurent Ferrara

    ()

Abstract

The intricate issue of detecting and forecasting macroeconomic cycles turning points has been once more perfectly illustrated with the global downturn experienced by most countries around the world in 2000-2001. Governments and Central Banks are very sensitive to economic indicators showing signs of deterioration in order to adjust their policies sufficiently in advance to avoid further deterioration or even a recession. These indicators require at least two qualities: they must be reliable and they must provide a readable signal as soon as possible. In this paper, we discuss ...

Suggested Citation

  • Jacques Anas & Laurent Ferrara, 2004. "Detecting Cyclical Turning Points: The ABCD Approach and Two Probabilistic Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2004(2), pages 193-225.
  • Handle: RePEc:oec:stdkaa:5lmqcr2jcpbw
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1787/jbcma-v2004-art12-en
    Download Restriction: Full text available to READ online. PDF download available to OECD iLibrary subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. Laurent Ferrara & Dominique Guégan, 2006. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 353-371.
    2. Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
    3. Barhoumi, Karim & Darné, Olivier & Ferrara, Laurent, 2016. "A World Trade Leading Index (WTLI)," Economics Letters, Elsevier, vol. 146(C), pages 111-115.
    4. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
    5. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
    6. Monica Billio & Roberto Casarin & Domenico Sartore, 2007. "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers 2007_34, Department of Economics, University of Venice "Ca' Foscari".
    7. Fathi Elachhab, 2009. "Décrire le cycle économique en Tunisie," Economie & Prévision, La Documentation Française, vol. 0(3), pages 75-92.
    8. Emanuel Mönch & Harald Uhlig, 2003. "Towards a Monthly Business Cycle Chronology for the Euro Area," SFB 649 Discussion Papers SFB649DP2005-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Apr 2005.
    9. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    10. Imed Medhioub, 2010. "Business Cycle Synchronization: A Mediterranean Comparison," Working Papers 527, Economic Research Forum, revised 06 Jan 2010.
    11. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
    12. Sébastien Le Coent & Erwan Gautier & Benoît Bellone, 2006. "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Économie et Prévision, Programme National Persée, vol. 172(1), pages 83-99.
    13. Mendoza, Liu & Morales, Daniel, 2013. "Construyendo un índice coincidente de recesión: Una aplicación para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 81-100.
    14. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, Department of Economics, University of Venice "Ca' Foscari".
    15. Mendoza, Liu & Morales, Daniel, 2012. "Constructing a real-time coincident recession index: an application to the Peruvian economy," Working Papers 2012-020, Banco Central de Reserva del Perú.
    16. repec:spr:jbuscr:v:13:y:2017:i:1:d:10.1007_s41549-017-0014-9 is not listed on IDEAS
    17. Sergey Smirnov, 2011. "Those Unpredictable Recessions," HSE Working papers WP BRP 02/EC/2011, National Research University Higher School of Economics.
    18. Legrand, Romain, 2014. "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, vol. 40(C), pages 136-151.
    19. Sergey V. Smirnov & Daria A. Avdeeva, 2016. "Wishful Bias in Predicting Us Recessions: Indirect Evidence," HSE Working papers WP BRP 135/EC/2016, National Research University Higher School of Economics.
    20. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.

    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:oec:stdkaa:5lmqcr2jcpbw. 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: (). General contact details of provider: http://edirc.repec.org/data/oecddfr.html .

    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.