Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models
This paper seeks to elaborate econometric models that can be used to forecast the turning points of the Belgian business cycle. We begin by suggesting three reference cycle, which we hope will fill the void of an official reference chronology for Belgium. We then construct two different types of model to estimate the probabilities of recession : Markov-switching models, and Logit models. We apply each approach to a limited set of data, which are a good representation of the economy, are available early and are subject to only minor revisions. We then select the best performing model for each chronology and type of approach. The out-of-sample results show that the models provide useful indicators of business cycle turning points. They are however far from perfect forecasting tools, especially when it comes to forecasting periods of classical recession.
|Date of creation:||01 Mar 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Fax: +32 10473945
Web page: http://www.uclouvain.be/econ
More information through EDIRC
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.:
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-44, January.
- Layton, Allan P. & Katsuura, Masaki, 2001. "Comparison of regime switching, probit and logit models in dating and forecasting US business cycles," International Journal of Forecasting, Elsevier, vol. 17(3), pages 403-417.
- Marcelle Chauvet & Jeremy Piger, 2002.
"Identifying business cycle turning points in real time,"
2002-27, Federal Reserve Bank of Atlanta.
- Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 47-61.
- Francis X. Diebold & Glenn D. Rudebusch, 1994.
"Measuring Business Cycles: A Modern Perspective,"
NBER Working Papers
4643, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1993.
"A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience,"
in: Business Cycles, Indicators and Forecasting, pages 95-156
National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1992. "A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience," NBER Working Papers 4014, National Bureau of Economic Research, Inc.
- Bertrand Candelon & Vincent Bodart, 2000.
"Appréhender la conjoncture à l'aide de la méthode de Stock-Watson : une application à l'économie belge,"
Économie et Prévision,
Programme National Persée, vol. 146(5), pages 141-153.
- Bodart, Vincent & Candelon, Bertrand, 1999. "Appréhender la conjoncture à l'aide de la méthode de Stock-Watson : une application à l'économie belge," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc.
- Harding, Don & Pagan, Adrian, 2002.
"Dissecting the cycle: a methodological investigation,"
Journal of Monetary Economics,
Elsevier, vol. 49(2), pages 365-381, March.
- Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
- Arturo Estrella & Frederic S. Mishkin, 1995.
"Predicting U.S. Recessions: Financial Variables as Leading Indicators,"
NBER Working Papers
5379, National Bureau of Economic Research, Inc.
- Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
- Arturo Estrella & Frederic S. Mishkin, 1996. "Predicting U.S. recessions: financial variables as leading indicators," Research Paper 9609, Federal Reserve Bank of New York.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, June.
- Kim, Chang-Jin, 1994.
"Dynamic linear models with Markov-switching,"
Journal of Econometrics,
Elsevier, vol. 60(1-2), pages 1-22.
- Allan Layton & Anirvan Banerji, 2003.
"What is a recession?: A reprise,"
Taylor & Francis Journals, vol. 35(16), pages 1789-1797.
- Allan P. Layton & Anirvan Banerji, 2001. "What Is A Recession?: A Reprise," School of Economics and Finance Discussion Papers and Working Papers Series 095, School of Economics and Finance, Queensland University of Technology.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-96, November.
- Francis X. Diebold & Glenn D. Rudebusch, 1987.
"Scoring the leading indicators,"
Special Studies Papers
206, Board of Governors of the Federal Reserve System (U.S.).
- Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
- Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:ctl:louvec:2005006. 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: (Anne DAVISTER-LOGIST)
If references are entirely missing, you can add them using this form.