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A comparison of economic indicator analysis and Markov switching methods concerning the cycle phase dynamics [electronic resource]: report / Pami Dua and Vineeta Sharma

By: Contributor(s): Material type: ArticleArticlePublication details: Paris : OECD Publishing, 2016.Description: 27 p. ; 21 x 28cmSubject(s): Other classification:
  • C22
  • E32
Online resources: In: OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2015, no. 2, p. 1-27Abstract: This paper compares the dating of growth rate cycles obtained from a Markov switching approach with the reference chronologies based on Economic Indicator Analysis (EIA) given by the Economic Cycle Research Institute (ECRI), focusing on a set of developed and emerging economies. The developed countries include US, UK, Germany and Japan, which are compared with an emerging economy, India. Using a univariate Markov regime switching model we characterise growth rate cycle phenomena for these countries by identifying turning points and distinct economic regimes, employing data on the growth rate of the coincident index given by ECRI.
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Working Paper Biblioteca Digital Colección OECD OECD jbcma-2015-5jm22pfhmhlp (Browse shelf(Opens below)) Not For Loan
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This paper compares the dating of growth rate cycles obtained from a Markov switching approach with the reference chronologies based on Economic Indicator Analysis (EIA) given by the Economic Cycle Research Institute (ECRI), focusing on a set of developed and emerging economies. The developed countries include US, UK, Germany and Japan, which are compared with an emerging economy, India. Using a univariate Markov regime switching model we characterise growth rate cycle phenomena for these countries by identifying turning points and distinct economic regimes, employing data on the growth rate of the coincident index given by ECRI.

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