Classical and Modern Business Cycle Measurement: The European Case
Hans-Martin Krolzig () and
No 60, Economics Series Working Papers from University of Oxford, Department of Economics
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 time series model proposed in Hamilton (1989a). 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 a 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)
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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 (2002)
Working Paper: CLASSICAL AND MODERN BUSINESS CYCLE MEASUREMENT: THE EUROPEAN CASE (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:60
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