ANALYSIS OF BUSINESS CYCLES CONVERGENCE IN A SWITCHING REGIME VIEW

IANCU Alexie Ciprian Alupoaiei
Additional contact information
IANCU Alexie Ciprian Alupoaiei: Academy of Economic Studies, Bucharest

Revista Economica, 2012, vol. Supplement, issue 1, 19-24

Abstract: In this paper I analyzed the convergence between Romanian and Euro Zone`s business cycles using a Switching approach. Considering the evolution of final consumption expenditure as proxy for the business cycles, the underlying study is calibrated on the second key feature of Burns and Mitchell`s (1946) definition about business cycles, namely the cycles are divided and also treated differently for cases of expansionary and downward regimes. Therefore a cyclical convergence between Romanian and Euro Zone`s business cycles is characterized by synchronization in the occurrence of different regimes (states) and also in the time for which these regimes are standing up. For this purpose, I called a Markov Switching model in order to estimate the probability of being in economic expansion or recessions for both business cycles. In that sense, I use both a Hamiltonian approach and a standard AR parametisation for dependent variable`s dynamics. Additionally, the Markov Switching analysis was completed by a Bayesian Switching approach in order to cross check the statistical significance of resulted estimates. Also other econometric and statistical methods were engaged to verify the accuracy of obtained information.

Keywords: Business Cycles; consumption expenditure; convergence; permanent income; filter; correlation. (search for similar items in EconPapers)
JEL-codes: E32 F41 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://economice.ulbsibiu.ro/revista.economica/arc ... nte/Volume1-2012.pdf (application/pdf)

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:blg:reveco:v:supplement:y:2012:i:1:p:19-24

Access Statistics for this article

More articles in Revista Economica from Lucian Blaga University of Sibiu, Faculty of Economic Sciences Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No.17, postal code 550324, Sibiu, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Eduard Alexandru Stoica ().