Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area

Monica Billio, Laurent Ferrara (), Dominique Guegan () and Gian Luigi Mazzi ()
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Laurent Ferrara: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, DGEI-DAMEP - Banque de France
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Gian Luigi Mazzi: Eurostat

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Abstract: In this paper, we aim at assessing Markov-switching and threshold models in their ability to identify turning points of economic cycles. By using vintage data that are updated on a monthly basis, we compare their ability to detect ex-post the occurrence of turning points of the classical business cycle, we evaluate the stability over time of the signal emitted by the models and assess their ability to detect in real-time recession signals. In this respect, we have built an historical vintage database for the Euro area going back to 1970 for two monthly macroeconomic variables of major importance for short-term economic outlook, namely the Industrial Production Index and the Unemployment Rate.

Keywords: industrial production; Business cycle; Euro zone; Markov switching model; SETAR model; unemployment; industrial production.; Cycle d'activité; zone Euro; modèle de Markov Switching; modèle à seuil; chômage; production industrielle. (search for similar items in EconPapers)
Date: 2009-08
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00423890v1
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Published in 2009

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Working Paper: Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area (2009)
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