 Modelling and Forecasting Business Cycle in CEE Countries using a Threshold ApproachMagdalena Osinska, Tadeusz Kufel (tadeusz.kufel@umk.pl), Marcin Błażejowski and Pawel Kufel Dynamic Econometric Models, 2016, vol. 16, 145-164 Abstract: We propose to apply a time-series-based nonlinear mechanism in the threshold autoregression (TAR) form in order to examine business cycles in Central and Eastern European economies and compare them to the entire EU business cycle. The threshold variables, such as consumer price index, short and long interest rates, unemployment rate and an exchange rate vs. the U.S. Dollar, have been considered. The purpose of the paper is to model and to predict business cycles in Central and East European (CEE) economies (the EU Member States) and compare them to business cycles of the entire EU28 area and Eurozone EU19. We found that the exogenous mechanism played an important role in diagnosing the phases of business cycles in CEE economies, which is in line with the entire EU economic area. The results of business cycle forecasting using bootstrap technique are quite promising, while bootstrap confidence intervals are used for diagnosis. Keywords: business cycle; central and eastern economies; threshold models; forecasting; bootstrap (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:16:y:2016:p:145-164 Access Statistics for this article Dynamic Econometric Models is currently edited by Mariola Pilatowska More articles in Dynamic Econometric Models from Uniwersytet Mikolaja Kopernika |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to econpapers@oru.se.
EconPapers is hosted by the
School of Business at Örebro University.