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A Chronology of International Business Cycles Through Non-parametric Decoding

  • Hsieh Fushing
  • Shu-Chun Chen
  • Travis J. Berge
  • Oscar Jorda

    (Department of Economics, University of California Davis)

This paper introduces a new empirical strategy for the characterization of business cycles. It combines non-parametric decoding methods that classify a series into expansions and recessions but does not require specification of the underlying stochastic process generating the data. It then uses network analysis to combine the signals obtained from different economic indicators to generate a unique chronology. These methods generate a record of peak and trough dates comparable, and in one sense superior, to the NBER’s own chronology. The methods are then applied to 22 OECD countries to obtain a global business cycle chronology.

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File URL: http://wp.econ.ucdavis.edu/10-20.pdf
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Paper provided by University of California, Davis, Department of Economics in its series Working Papers with number 1020.

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Length: 49
Date of creation: 08 Nov 2010
Date of revision:
Handle: RePEc:cda:wpaper:10-20
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  1. M. Ayhan Kose & Eswar Prasad & Marco Terrones, 2003. "How Does Globalization Affect the Synchronization of Business Cycles?," IMF Working Papers 03/27, International Monetary Fund.
  2. M. Ayhan Kose & Eswar Prasad & Christopher Otrok, 2008. "Global Business Cycles; Convergence or Decoupling?," IMF Working Papers 08/143, International Monetary Fund.
  3. James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
  4. Ambler, S. & Cardia, E. & Zimmermann, C., 2000. "International Business Cycles: What Are the Facts?," Cahiers de recherche 2000-05, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  5. Travis Berge & Oscar Jorda, 2009. "The Classification of Economic Activity into Expansions and Recessions," Working Papers 918, University of California, Davis, Department of Economics.
  6. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2005. "Understanding the Evolution of World Business Cycles," IMF Working Papers 05/211, International Monetary Fund.
  7. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
  8. Hsieh Fushing & Chen Shu-Chun & Pollard Katherine, 2009. "A Nearly Exhaustive Search for CpG Islands on Whole Chromosomes," The International Journal of Biostatistics, De Gruyter, vol. 5(1), pages 1-24, May.
  9. Klaus Nordhausen, 2009. "The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition by Trevor Hastie, Robert Tibshirani, Jerome Friedman," International Statistical Review, International Statistical Institute, vol. 77(3), pages 482-482, December.
  10. Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-61, December.
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