Turning point chronology for the Euro-Zone: A Distance Plot Approach

Peter Martey Addo, Monica Billio and Dominique Guegan ()
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Dominique Guegan: Centre d'Economie de la Sorbonne, https://cv.archives-ouvertes.fr/dominique-guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: We propose a transparent way of establishing a turning point chronology for the Euro-zone business cycle. Our analysis is achieve by exploiting the concept of recurrence plots, in this case distance plot, to characterize and detect turning points in the business cycle for any economic system. Firstly, we exploit the concept of recurrence plots on the US Industrial Production Index (IPI) series to serve as a beachmark for our analysis since there already exist reference chronology for the US business cycle, provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept in constructing a turning point chronology for the Euro-zone business cycle. In particular, we show that this approach permits to detect turning points and study the business cycle without a priori assumptions on the statistical properties on the underlying economic indicator

Keywords: Recurrence Plots; economic cycles; turning points; Euro-zone (search for similar items in EconPapers)
JEL-codes: C14 C22 C40 E32 (search for similar items in EconPapers)
Date: 2013-03
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Turning point chronology for the Euro-Zone: A Distance Plot Approach (2013)
Working Paper: Turning point chronology for the Euro-Zone: A Distance Plot Approach (2013)
Working Paper: Turning point chronology for the Euro-Zone: A Distance Plot Approach (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:13025

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