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A comparison of economic indicator analysis and Markov switching methods concerning the cycle phase dynamics: report

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  • Pami Dua
  • Vineeta Sharma

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Abstract

This paper compares the dating of growth rate cycles obtained from a Markov switching approach with the reference chronologies based on Economic Indicator Analysis (EIA) given by the Economic Cycle Research Institute (ECRI), focusing on a set of developed and emerging economies. The developed countries include US, UK, Germany and Japan, which are compared with an emerging economy, India. Using a univariate Markov regime switching model we characterise growth rate cycle phenomena for these countries by identifying turning points and distinct economic regimes, employing data on the growth rate of the coincident index given by ECRI.

Suggested Citation

  • Pami Dua & Vineeta Sharma, 2016. "A comparison of economic indicator analysis and Markov switching methods concerning the cycle phase dynamics: report," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(2), pages 1-27.
  • Handle: RePEc:oec:stdkab:5jm22pfhmhlp
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    File URL: http://dx.doi.org/10.1787/jbcma-2015-5jm22pfhmhlp
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    More about this item

    Keywords

    Economic Indicator Analysis; Growth rate cycles; Markov switching models; business cycle phases;

    JEL classification:

    • 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

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