Use of the Markov switching models for identification of turning points in the business cycles of selected countries

Monika Kośko, Marta Kwiecień and Joanna Stempińska
Additional contact information
Monika Kośko: Wyższa Szkoła Informatyki i Ekonomii w Olsztynie
Marta Kwiecień: Uniwersytet Warmińsko-Mazurski w Olsztynie
Joanna Stempińska: Uniwersytet Warmińsko-Mazurski w Olsztynie

Collegium of Economic Analysis Annals, 2015, issue 36, 511-523

Abstract: The article presents an example of application of the Markov switching models (MS) to identify phases and turning points in the business cycles of selected countries, including Poland. Models are calculated on the basis of GDP series. The Markov switching models constitute a more developed structure of Markov chains. In the MS models it is not necessary to determine states (regimes), because they are unobservable. However, based on the value of the transition probabilities between the states, moments of transition between states and the time of being in the states can be predicted. With regard to business cycles, the states of the process match the phases of the business cycle. The Markov switching model identifies these states and allows to calculate the most important statistic values such as the mean and variance (in states) and to forecast turning points of business cycles.

Keywords: business cycle; turning points of business cycle; Markov chains; Markov switching models (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://rocznikikae.sgh.waw.pl/p/roczniki_kae_z36_39.pdf Full text (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:sgh:annals:i:36:y:2015:p:511-523

Access Statistics for this article

Collegium of Economic Analysis Annals is currently edited by Joanna Plebaniak, Beata Czarnacka-Chrobot

More articles in Collegium of Economic Analysis Annals from Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Michał Bernardelli ().