A Chronology of International Business Cycles Through Non-parametric Decoding

Oscar Jorda, Hsieh Fushing, Shu-Chun Chen and Travis Berge

No 216, Working Papers from University of California, Davis, Department of Economics

Abstract: This paper introduces a new empirical strategy for the characterization of business cycles. It combines non-parametric decoding methods that classify a series into expansions and recessions but does not require specification of the underlying stochastic process generating the data. It then uses network analysis to combine the signals obtained from different economic indicators to generate a unique chronology. These methods generate a record of peak and trough dates comparable, and in one sense superior, to the NBER?s own chronology. The methods are then applied to 22 OECD countries to obtain a global business cycle chronology.

Keywords: decoding; hierarchical factor segmentation; network analysis; business cycles (search for similar items in EconPapers)
JEL-codes: C14 C54 E32 F42 (search for similar items in EconPapers)
Pages: 49
Date: 2010-11-07
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: A chronology of international business cycles through non-parametric decoding (2010)
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