Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210051
Authors: 
Aastveit, Knut Are
Jore, Anne Sofie
Ravazzolo, Francesco
Year of Publication: 
2014
Series/Report no.: 
Working Paper No. 2014/02
Publisher: 
Norges Bank, Oslo
Abstract: 
We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of Norwegian Gross Domestic Product (GDP) as the business cycle indicator. The timing of business cycles depends on the vintage and the method used. BB provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with surveys or financial indicators, respectively, leads to the conclusion that the BB rule applied to density forecasts of GDP augmented with either the consumer confidence index or a financial conditions index provides the most timely predictions of peaks. For troughs, augmenting with surveys or financial indicators does not increase forecastability.
Subjects: 
forecast densities
turning points
real-time data
JEL: 
C32
C52
C53
E37
E52
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-785-8
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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