Turning point chronology for the euro area: A distance plot approach

Peter Martey Addo (), Monica Billio and Dominique Guegan ()
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Peter Martey Addo: 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
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the concept of recurrence plots on the US Industrial Production Index (IPI) series; this serves as a benchmark for our analysis since it already contains a reference chronology for the US business cycle, as provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept to construct a turning point chronology for the euro area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator.

Keywords: economic cycles; euro area; recurrence plots; turning points (search for similar items in EconPapers)
Date: 2014
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Published in OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 8, pp.1-14. ⟨10.1787/19952899⟩

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Journal Article: Turning point chronology for the euro area: A distance plot approach (2014)
Working Paper: Turning point chronology for the euro area: A distance plot approach (2014)
Working Paper: Turning point chronology for the euro area: A distance plot approach (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:hal-01310533

DOI: 10.1787/19952899

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