Identification and real-time forecasting of Norwegian business cycles

Knut Are Aastveit, Anne Sofie Jore and Francesco Ravazzolo
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Anne Sofie Jore: Norges Bank (Central Bank of Norway)

No 2015/09, Working Paper from Norges Bank

Abstract: We define 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.

Keywords: Business cycle; Dating rules; Turning Points; Real-time data (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 E37 E52 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2015-05-09
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
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Citations: View citations in EconPapers (1)

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http://www.norges-bank.no/en/Published/Papers/Working-Papers/2015/92015/

Related works:
Journal Article: Identification and real-time forecasting of Norwegian business cycles (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2015_09

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