Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18447
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKholodilin, Konstantin Arkadievichen_US
dc.date.accessioned2009-01-28T15:47:13Z-
dc.date.available2009-01-28T15:47:13Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/18447-
dc.description.abstractThe appropriately selected leading indicators can substantially improve the forecasting of the peaks and troughs of the business cycle. Using the novel methodology of the dynamic bi-factor model with Markov switching and the data for three largest European economies (France, Germany, and UK) we construct composite leading indicator (CLI) and composite coincident indicator (CCI) as well as corresponding recession probabilities. We estimate also a rival model of the Markov-switching VAR in order to see, which of the two models brings better outcomes. The recession dates derived from these models are compared to three reference chronologies: those of OECD and ECRI (growth cycles) and those obtained with quarterly Bry-Boschan procedure (classical cycles). Dynamic bi-factor model and MSVAR appear to predict the cyclical turning points equally well without systematic superiority of one model over another.en_US
dc.language.isoengen_US
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen_US
dc.relation.ispartofseries|aDIW-Diskussionspapiere |x554en_US
dc.subject.jelE32en_US
dc.subject.jelC10en_US
dc.subject.ddc330en_US
dc.subject.keywordForecasting turning pointsen_US
dc.subject.keywordcomposite coincident indicatoren_US
dc.subject.keywordcomposite leading indicatoren_US
dc.subject.keyworddynamic bi-factor modelen_US
dc.subject.keywordMarkov switchingen_US
dc.titleUsing the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economiesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn508570433en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

Files in This Item:
File
Size
638.71 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.