An automatic algorithm to date the reference cycle of the Spanish economy

Maximo Camacho, María Dolores Gadea () and Ana Gómez Loscos ()
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María Dolores Gadea: University of Zaragoza
Ana Gómez Loscos: Banco de España
Authors registered in the RePEc Author Service: Ana Gómez-Loscos

No 2139, Working Papers from Banco de España

Abstract: This paper provides an accurate chronology of the Spanish reference business cycle by adapting the multiple change-point model proposed by Camacho, Gadea and Gómez Loscos (2021). In that approach, each individual pair of specific peaks and troughs from a set of indicators is viewed as a realization of a mixture of an unspecified number of separate bivariate Gaussian distributions, whose different means are the reference turning points and whose transitions are governed by a restricted Markov chain. In the empirical application, seven recessions in the period from 1970.2 to 2020.2 are identified, which are in high concordance with the timing of the turning point dates established by the Spanish Business Cycle Dating Committee (SBCDC)

Keywords: business cycles; turning points; finite mixture models; Spain (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2021-11
New Economics Papers: this item is included in nep-ets and nep-mac
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https://www.bde.es/f/webbde/SES/Secciones/Publicac ... 21/Files/dt2139e.pdf First version, November 2021 (application/pdf)

Related works:
Journal Article: An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:2139

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