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http://hdl.handle.net/10419/28356
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| Title: | | Sequential methodology for signaling business cycle turning points  |
| 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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