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 achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterize 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 exists a 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 to construct 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 of the underlying economic indicator

Keywords: Economic cycles; Euro-zone; recurrence plots; turning points (search for similar items in EconPapers)
JEL-codes: C14 C40 E32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2013-03, Revised 2013-10
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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ftp://mse.univ-paris1.fr/pub/mse/CES2013/13025R.pdf (application/pdf)

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:13025r

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