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Dating the Italian Business Cycle: A Comparison of Procedures

Author Info

  • Giancarlo Bruno

    (ISAE-Roma)

  • Edoardo Otranto

    (DEIR-Università di Sassari)

Abstract

The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures for an automatic dating of the Italian business cycle in the last thirty years, checking differences among various methodologies and with the ISAE chronology. To this end parametric as well as non parametric methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate framework. The different methods are also evaluated with respect to their ability to timely track turning points. KEYWORDS: signal extraction, turning points, parametric methods, nonparametric methods

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Paper provided by EconWPA in its series Econometrics with number 0312003.

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Length: 20 pages
Date of creation: 18 Dec 2003
Date of revision:
Handle: RePEc:wpa:wuwpem:0312003
Note: Type of Document - pdf; prepared on Win98; to print on A4 paper; pages: 20. pdf document submitted via ftp
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Keywords: signal extraction; turning points; parametric methods; nonparametric methods;

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Find related papers by JEL classification:
  • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
  • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
  • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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  1. 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.
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  6. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
  7. Zacharias Psaradakis & Nicola Spagnolo, 2003. "On The Determination Of The Number Of Regimes In Markov-Switching Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 237-252, 03.
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  9. Edoardo Otranto & Giampiero M. Gallo, 2001. "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models," Econometrics Working Papers Archive wp2001_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  10. 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.
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Cited by:

  1. Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
  2. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004.
  3. Stefano Fachin & Andrea Gavosto, 2010. "Trends of labour productivity in Italy: a study with panel co-integration methods," International Journal of Manpower, Emerald Group Publishing, vol. 31(7), pages 755-769, November.
  4. Fachin, Stefano & Gavosto, Andrea, 2007. "The decline in Italian productivity: a study in estimation of long-Run trends in Total Factor Productivity with panel cointegration methods," MPRA Paper 3112, University Library of Munich, Germany.
  5. Mario Quagliariello, . "Banks' Performance over the Business Cycle: A Panel Analysis on Italian Intermediaries," Discussion Papers 04/17, Department of Economics, University of York.
  6. F. Daveri & C. Jona-Lasinio, 2006. "Italy’s decline: getting the facts right," Economics Department Working Papers 2006-EP01, Department of Economics, Parma University (Italy).
  7. Silvia Palasca & Elisabeta Jaba, 2014. "Leading and Lagging Indicators Of the Economic Crisis," Romanian Statistical Review, Romanian Statistical Review, vol. 62(3), pages 31-47, September.
  8. Mario Quagliariello, 2007. "Banks' riskiness over the business cycle: a panel analysis on Italian intermediaries," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 119-138.
  9. Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, EconWPA.
  10. Catherine Doz & Anna Petronevich, 2015. "Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159200, HAL.
  11. Mario Quagliariello, 2006. "Banks� Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries," Temi di discussione (Economic working papers) 599, Bank of Italy, Economic Research and International Relations Area.
  12. Craigwell, Roland & Maurin, Alain, 2007. "A sectoral analysis of Barbados’ GDP business cycle," MPRA Paper 33428, University Library of Munich, Germany.

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