Classical and Modern Business Cycle Measurement: The European Case
Hans-Martin Krolzig () and
Juan Toro ()
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Juan Toro: Centro de Estudios Andaluces
No E2002/20, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces
This paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the “classical” approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle; we then adopt the “modern” alternative: the Markov-switching vector autoregression (MS-VAR). The model's regime probabilities provide an optimal statistical inference of the turning point of the European business cycle. For assessing the capacity of the parametric approach to generate the stylized facts of the classical cycle in Europe, the stylized facts of the original data are compared to those of simulated data. The MS-VAR model is shown to be a good candidate for use as an statistical instrument to improve the understanding of the business cycle.
Keywords: International business cycles; European Union; Markov Switching; Structural breaks; Time series analysis. (search for similar items in EconPapers)
JEL-codes: E32 F43 F47 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-mac
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Journal Article: Classical and modern business cycle measurement: The European case (2004)
Working Paper: Classical and Modern Business Cycle Measurement: The European Case (2001)
Working Paper: CLASSICAL AND MODERN BUSINESS CYCLE MEASUREMENT: THE EUROPEAN CASE (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:cea:doctra:e2002_20
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