Business confidence and cyclical turning points: a Markov-switching approach

UNIVERSITY OF WAIKATO Hamilton New Zealand Business Confidence and Cyclical Turning Points: A Markov-Switching Approach

Measuring Business Cycle Turning Points in Japan with a Dynamic Markov Switching Factor Model

This paper was written while the author was a visiting scholar at the Institute for Monetary and Economic Studies (IMES), Bank of Japan. The author is deeply indebted to the staff there for encouragement and numerous suggestions. Thanks are also due to Susumu Suzuki in the Economic and Social Research Institute in the Cabinet Office for useful comments. Toshiyuki Matsuura and Kiyotaka Satoyoshi...

Detecting Cyclical Turning Points: the ABCD Approach and Two Probabilistic Indicators

The intricate issue of detecting and forecasting turning points of macroeconomic cycles has been one more time well illustrated recently 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 more...

Detection of Turning Points in Business Cycles

Methods for continuously monitoring business cycles are compared. A turn in a leading index can be used to predict a turn in the business cycle. Three likelihood based methods for turning point detection are compared in detail by using the theory of statistical surveillance and by simulations. One of the methods is a parametric likelihood ratio method. Another includes a non-parametric estimati...

Asymmetric Effects of Monetary Policy and Business Cycles in Iran using Markov-switching Models

This paper investigates the asymmetric effects of monetary policy on economic growth over business cycles in Iran. Estimating the models using the Hamilton (1989) Markov-switching model and by employing the data for 1960-2012, the results well identify two regimes characterized as expansion and recession. Moreover, the results show that an expansionary monetary policy has a positive and statist...