Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies

Andrzej Geise () and Mariola Pilatowska ()
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Andrzej Geise: Nicolaus Copernicus University

Dynamic Econometric Models, 2013, vol. 13, 175-194

Abstract: The main purpose of the paper is to study the degree to which the Brent crude oil price cycle is correlated and synchronized with business cycle in a set of chosen Central Eastern European (CEE) economies. To indentify the oil price cycle and business cycles for chosen individual countries the Markov-switching autoregressive model (MS-AR) is used. The identification of the smoothed probabilities of being in regime 1 and regime 2 enables the calculation of correlation coefficients between those probabilities and the concordance index to evaluate the synchronization of oil price cycle and business cycles for the CEE economies.

Keywords: Markov switching model; crude oil prices; business cycle; price cycle. (search for similar items in EconPapers)
JEL-codes: C22 C32 E23 Q40 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:13:y:2013:p:175-194

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