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A comparison of economic indicator analysis and Markov switching methods concerning the cycle phase dynamics: report

Pami Dua and Vineeta Sharma ()

OECD Journal: Journal of Business Cycle Measurement and Analysis, 2016, vol. 2015, issue 2, 1-27

Abstract: This paper compares the dating of growth rate cycles obtained from a Markov switching approach with the reference chronologies based on Economic Indicator Analysis (EIA) given by the Economic Cycle Research Institute (ECRI), focusing on a set of developed and emerging economies. The developed countries include US, UK, Germany and Japan, which are compared with an emerging economy, India. Using a univariate Markov regime switching model we characterise growth rate cycle phenomena for these countries by identifying turning points and distinct economic regimes, employing data on the growth rate of the coincident index given by ECRI.

Keywords: Economic Indicator Analysis; Growth rate cycles; Markov switching models; business cycle phases (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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