Detecting Cyclical Turning Points

Jacques Anas · Laurent Ferrara

40 citations0/0 files storedJournal of Business Cycle Measurement and Analysis

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Unemployment and Economic Growth

Abstract

The intricate issue of detecting and forecasting macroeconomic cycles turning points has been once more perfectly illustrated with the global downturn experienced by most countries around the world in 2000-2001. Governments and Central Banks are very sensitive to economic indicators showing signs of deterioration in order to adjust their policies sufficiently in advance to avoid further deterioration or even a recession. These indicators require at least two qualities: they must be reliable and they must provide a readable signal as soon as possible. In this paper, we discuss ...

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1947Measuring Business Cycles 1994Business-Cycle Phases and Their Transitional Dynamics 1997Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis 1997Markov-Switching Vector Autoregressions 1998Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching 19997. Regime Switching with Time-Varying Transition Probabilities 1994Measuring Business Cycles: A Modern Perspective

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2004Business cycle analysis with multivariate Markov switching models 2011Identification of Slowdowns and Accelerations for the Euro Area Economy*2009Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area

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