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Business Cycles around the Globe: A Regime Switching Approach

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  • Sumru Altug

    () (Koc University)

  • Melike Bildirici

Abstract

This paper characterizes business cycle phenomena in a sample of 22 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each country in question. The paper also provides a comparison of the business cycle turning points implied by this study and those derived in other studies and by other methods. Our findings document the importance of heterogeneity of individual countries’ experiences. We also argue that consideration of a large and diverse group of countries provides an alternative perspective on the co-movement of aggregate economic activity worldwide.

Suggested Citation

  • Sumru Altug & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Koç University-TUSIAD Economic Research Forum Working Papers 1009, Koc University-TUSIAD Economic Research Forum.
  • Handle: RePEc:koc:wpaper:1009
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    Cited by:

    1. Daniel Cohen & Sébastien Villemot, 2012. "The sovereign default puzzle: Modelling issues and lessons for Europe," Working Papers halshs-00692038, HAL.
    2. Daniel Cohen & Sébastien Villemot, 2012. "The sovereign default puzzle: Modelling issues and lessons for Europe," PSE Working Papers halshs-00692038, HAL.
    3. Ozge Kandemir Kocaaslan, 2016. "Regime Nonstationarity and Nonlinearity in the Turkish Output Level," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 503-507.
    4. Nuri Yildirim, 2015. "A Survival Analysis of the Contraction Phases of Business Cycles in Industrial Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(5), pages 557-579, December.
    5. Sumru Altug & Bilin Neyapti & Mustafa Emin, 2012. "Institutions and Business Cycles," International Finance, Wiley Blackwell, vol. 15(3), pages 347-366, December.
    6. Adél Bosch & Franz Ruch, 2013. "An Alternative Business Cycle Dating Procedure for South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 81(4), pages 491-516, December.
    7. repec:eee:rensus:v:75:y:2017:i:c:p:68-85 is not listed on IDEAS
    8. Afanasyeva, Elena, 2013. "Atypical behavior of credit: Evidence from a monetary VAR," IMFS Working Paper Series 70, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    9. Sumru Altug & Serdar Kabaca & Meltem Poyraz, 2011. "Search Frictions, Financial Frictions and Labor Market Fluctuations in Emerging Economies," Koç University-TUSIAD Economic Research Forum Working Papers 1136, Koc University-TUSIAD Economic Research Forum.
    10. Olfa Manai Daboussi & Amira Majoul, 2014. "The transmission effects of the subprime crisis to emerging markets: A global VAR analysis," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 4(9), pages 427-438, September.
    11. Canova, Fabio & Ciccarelli, Matteo, 2012. "ClubMed? Cyclical fluctuations in the Mediterranean basin," Journal of International Economics, Elsevier, vol. 88(1), pages 162-175.
    12. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz, 2012. "Connectedness Cycles in Equity Markets: A Wavelet Approach," EcoMod2012 4502, EcoMod.
    13. Sumru Altug & Erhan Uluceviz, 2011. "Leading Indicators of Real Activity and Inflation for Turkey, 2001-2010," Koç University-TUSIAD Economic Research Forum Working Papers 1134, Koc University-TUSIAD Economic Research Forum.

    More about this item

    Keywords

    Markov switching approach; business cycles; turning point analysis; nonparametric modelling;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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