Business Cycle Measurement in the Presence of Structural Change: International Evidence
By generalizing Hamiltons model of the US business cycle to a three-regime Markov-switching vector autoregressive model, this paper analyzes regime shifts in the stochastic process of economic growth in the US, Japan and Europe over the last four decades. Empirical evidence is established for the presence of a structural break in the expansionary GDP growth for the US and Japan based on an output-employment MS vector equilibrium correction model, and a structural break in the context of a common European business cycle. For the United States the long expansions of recent years signify basic changes in the business cycles pattern. In the case of Japan we identify long episodes of rapid economic expansions (existing until the mid 1970s) and long economic recessions (as in the 1990s). In Europe we find after an episode of catching-up in the 1970s, convergence in the business cycle pattern which suggests the notion of a European business cycle. The multi-regime Markov-switching VARs proposed are profoundly checked for their economic content and statistical congruency, and are found to provide a sound statistical framework for a comprehensive analysis of the business cycle.
|Date of creation:||01 Nov 2000|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.economics.ox.ac.uk/
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.:
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002.
"The European Business Cycle,"
Economic Working Papers at Centro de Estudios Andaluces
E2002/19, Centro de Estudios Andaluces.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Diebold & Rudebusch, .
"Measuring Business Cycle: A Modern Perspective,"
_061, University of Pennsylvania.
- Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 573-93, Sept.-Oct.
- Bruce E. Hansen, 1995.
"Erratum: The Likelihood ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP,"
Boston College Working Papers in Economics
296., Boston College Department of Economics.
- Hansen, Bruce E, 1996. "Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 195-98, March-Apr.
- Garcia, Rene, 1998.
"Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
- René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
- H. Krolzig, 1996.
"Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts,"
SFB 373 Discussion Papers
1996,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hans-Martin Krolzig, 1999. "Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts," Computing in Economics and Finance 1999 1113, Society for Computational Economics.
- Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
- Phillips, Kerk L., 1991. "A two-country model of stochastic output with changes in regime," Journal of International Economics, Elsevier, vol. 31(1-2), pages 121-142, August.
- 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.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Krolzig, Hans-Martin & Sensier, Marianne, 2000. "A Disaggregated Markov-Switching Model of the Business Cycle in UK Manufacturing," Manchester School, University of Manchester, vol. 68(4), pages 442-60, Special I.
- Andrew J. Filardo, 1994. "International co-movements of business cycles," Research Working Paper 94-11, Federal Reserve Bank of Kansas City.
When requesting a correction, please mention this item's handle: RePEc:oxf:wpaper:2000-w33. 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: (Caroline Wise)
If references are entirely missing, you can add them using this form.