المستودع الأكاديمي جامعة المدينة

Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies

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dc.creator Kholodilin, Konstantin Arkadievich
dc.date 2006
dc.date.accessioned 2013-10-16T07:00:00Z
dc.date.available 2013-10-16T07:00:00Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/18447
dc.identifier ppn:508570433
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18447
dc.description The appropriately selected leading indicators can substantially improve the forecasting of the peaks and troughs of the business cycle. Using the novel methodology of the dynamic bi-factor model with Markov switching and the data for three largest European economies (France, Germany, and UK) we construct composite leading indicator (CLI) and composite coincident indicator (CCI) as well as corresponding recession probabilities. We estimate also a rival model of the Markov-switching VAR in order to see, which of the two models brings better outcomes. The recession dates derived from these models are compared to three reference chronologies: those of OECD and ECRI (growth cycles) and those obtained with quarterly Bry-Boschan procedure (classical cycles). Dynamic bi-factor model and MSVAR appear to predict the cyclical turning points equally well without systematic superiority of one model over another.
dc.language eng
dc.publisher Deutsches Institut für Wirtschaftsforschung (DIW) Berlin
dc.relation DIW-Diskussionspapiere 554
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E32
dc.subject C10
dc.subject ddc:330
dc.subject Forecasting turning points
dc.subject composite coincident indicator
dc.subject composite leading indicator
dc.subject dynamic bi-factor model
dc.subject Markov switching
dc.title Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies
dc.type doc-type:workingPaper


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