Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
A start-end recession index: Application for United-States
Jacques Anas and
Laurent Ferrara
MPRA Paper from University Library of Munich, Germany
Abstract:
This working paper presents a new coincident economic indicator developed by the COE, able to detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic time series carefully chosen. The filtered probabilities stemming from these series are combined by taking into account the risks of false signals in order to provide a recession probability. This new indicator fruitfully completes the leading indicator IARC, released monthly by the COE, which aims at forecasting the fluctuations of the growth cycle. It is planned to apply this new indicator to the eurozone in the next future.
Keywords: recession; Markov-switching; USA; real-time indicator (search for similar items in EconPapers)
JEL-codes: C32 C51 E32 (search for similar items in EconPapers)
Date: 2002-07-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/4043/1/MPRA_paper_4043.pdf original version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:4043
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().