Analyzing the Swiss Business Cycle

Alexander Perruchoud

Applied Economics Quarterly (formerly: Konjunkturpolitik), 2008, vol. 54, issue 4, 255-292

Abstract: This paper sets up a Gibbs sampler for a three state Markov switching model with nonconstant transition probabilities. The step from two to three states is accomplished by the use of a multinomial probit model for the latent variable process. The algorithm is then applied to Swiss GDP data in order to analyze the business cycle. The results suggest Markov switching between three different regimes. Furthermore, evidence for duration dependence in recessions is found, i.e., the longer a recession lasts the more likely it is to end.

Keywords: Markov switching; Gibbs sampling; multinomial probit model; business cycle; duration dependence (search for similar items in EconPapers)
JEL-codes: C11 C22 E32 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aeq:aeqaeq:v54_y2008_i4_q4_p255-292

Ordering information: This journal article can be ordered from
http://www.duncker-h ... nomicsquarterly.html

Access Statistics for this article

Applied Economics Quarterly (formerly: Konjunkturpolitik) is currently edited by Ansgar Belke, Uwe Sunde and Winfried Koeniger

More articles in Applied Economics Quarterly (formerly: Konjunkturpolitik) from Duncker & Humblot, Berlin
Bibliographic data for series maintained by Deborah Anne Bowen ( this e-mail address is bad, please contact ).