Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87726
Authors: 
Candelon, Bertrand
Metiu, Norbert
Straetmans, Stefan
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 43/2013
Abstract: 
We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between 1919 and 2009, including the Great Depression and the World War II boom. Our results suggest that the recent Great Recession does not qualify as a depression. Multinomial logistic regressions show that stock returns, output growth, and inflation exhibit predictive power for depressions. Surprisingly, the term spread is not a leading indicator of depressions, in contrast to recessions.
Subjects: 
Business cycles
Depression
Leading indicators
Multinomial logistic regression
Nonparametric statistics
Outlier
JEL: 
C14
C35
E32
ISBN: 
978-3-86558-972-9
Document Type: 
Working Paper

Files in This Item:
File
Size
477.33 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.