A real-time recession indicator for the Euro area
In this paper, we propose a new coincident monthly indicator to detect in real-time the start and the end of an economic recession phase for the Euro area. In this respect, we use the methodology proposed in Anas and Ferrara (2002, 2004) as regards the recession indicator for the US, based on Markov-Switching processes popularized in economics by Hamilton (1989). By using a set of four monthly time series, we show that this start-end recession indicator (SERI) is able to reproduce all the recession phases experienced by the Euro area since 1970. Concerning the last low phase of the growth cycle in the Euro area, started in 2001, empirical results show that the Euro area experienced a « quasi-recession » phase, located between the end of the 2001 year and the beginning of 2002, without a global recession. This is due to a lack of diffusion of this phenomena among the main Eurozone countries, though it was synchronized.
|Date of creation:||Jun 2006|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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.:
- Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
- Anas, Jacques & Ferrara, Laurent, 2002.
"Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
[A start-end recession index: Application for United-States]," MPRA Paper 4043, University Library of Munich, Germany.
- Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
- Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
- René Garcia, 1995.
"Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models,"
CIRANO Working Papers
- 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 763-788, August.
- Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-277, July.
- Perron, P., 1994.
"Further Evidence on Breaking Trend Functions in Macroeconomic Variables,"
Cahiers de recherche
9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Universite de Montreal, Departement de sciences economiques.
- Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
- Krolzig, H.-M. & Toro, J., 1999. "A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment," Economics Working Papers eco99/30, European University Institute.
- Pilar Bengoechea & Gabriel Pérez Quirós, 2004.
"A useful tool to identify recessions in the euro area,"
European Economy - Economic Papers 2008 - 2015
215, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Pilar Bengoechea & Gabriel Pérez-Quirós, 2004. "A useful tool to identify recessions in the euro-area," Working Papers 0419, Banco de España;Working Papers Homepage.
- Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005.
"Do european business cycles look like one?,"
0518, Banco de España;Working Papers Homepage.
- Laurent Ferrara, 2007. "Point and interval nowcasts of the Euro area IPI," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 115-120.
- Peter Grasmann & Filip Keereman, 2001. "An indicator-based short-term forecast for quarterly GDP in the euro area," European Economy - Economic Papers 2008 - 2015 154, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Nigel Pain & Franck Sédillot, 2006. "Indicator models of real GDP growth in the major OECD economies," OECD Economic Studies, OECD Publishing, vol. 2005(1), pages 167-217.
- Marcelle Chauvet & Jeremy M. Piger, 2003.
"Identifying business cycle turning points in real time,"
Federal Reserve Bank of St. Louis, issue Mar, pages 47-61.
- Marcelle Chauvet & Jeremy M. Piger, 2002. "Identifying business cycle turning points in real time," FRB Atlanta Working Paper 2002-27, Federal Reserve Bank of Atlanta.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:4042. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.