Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208239
Authors: 
de Bondt, Gabe J.
Vermeulen, Philip
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2205
Abstract: 
We estimate business cycle regime switching logit models for G7 countries to determine the effect of duration of the current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With respect to expansions in a G7 country, we find that the probability they end roughly doubles each time another G7 country falls into a recession. We also find that expansions in the US and Germany are duration dependent, i.e. are more likely to end as they grow older. This contrasts with other G7 countries where expansions are not duration dependent. With respect to recessions in a G7 country, we find that the likelihood of them coming to an end is not affected by other G7 countries' recessions. We find duration dependence of recessions for all G7 countries, i.e. recessions that have gone on for a while are more likely to end.
Subjects: 
Duration dependence
Recessions
Regime switching logit model
Business cycles
JEL: 
E32
C41
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3310-0
Document Type: 
Working Paper

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