Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210076
Authors: 
Aastveit, Knut Are
Jore, Anne Sofie
Ravazzolo, Francesco
Year of Publication: 
2015
Series/Report no.: 
Working Paper No. 09/2015
Publisher: 
Norges Bank, Oslo
Abstract: 
We de fine and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching models and Markov-switching factor models. On the basis of a receiver operating characteristic curve methodology and a comparison of business cycle turning points with Norway's main trading partners, we find that a Markov-switching factor model provides the most reasonable definition of Norwegian business cycles for the sample 1978Q1-2011Q4. In a real-time out-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a financial conditions index are timely and accurate in calling the last peak in real time. The models are less accurate and timely in calling the trough in real time.
Subjects: 
business cycle
dating rules
turning points
real-time data
JEL: 
C32
C52
C53
E37
E52
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-866-4
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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