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Title:Sequential methodology for signaling business cycle turning points PDF Logo
Authors:Golosnoy, Vasyl
Hogrefe, Jens
Issue Date:2009
Series/Report no.:Kiel working paper 1528
Abstract:The dates of U.S. business cycle are reported by NBER with a considerable delay, so an early notion of turning points is of particular interest. This paper proposes a novel sequential approach designed for timely signaling these turning points. A directional cumulated sum decision rule is adapted for the purpose of on-line monitoring of transitions between subsequent phases of economic activity. The introduced procedure shows a sound detection ability for business cycle peaks and troughs compared to the established dynamic factor Markov switching methodology. It exhibits a range of theoretical optimality properties for early signaling, moreover, it is transparent and easy to implement.
Subjects:Business cycle
CUSUM control chart
Dynamic Factor Markov switching models
Early signaling
NBER dating
JEL:C44
C50
E32
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des IfW
Kieler Arbeitspapiere, IfW

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