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Turning point chronology for the euro area [electronic resource]: A distance plot approach / Peter Martey Addo, Monica Billio and Dominique Guégan

By: Contributor(s): Material type: ArticleArticlePublication details: Paris : OECD Publishing, 2014.Description: 14 p. ; 21 x 28cmSubject(s): Other classification:
  • C40
  • C14
  • E32
Online resources: In: OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2014, no. 1, p. 1-14Abstract: We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise 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 contains a reference chronology for the US business cycle, as 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 area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator. Keywords: economic cycles; euro area; recurrence plots; turning points JEL classification: C14, C40, E32
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Item type Home library Collection Call number Status Date due Barcode Item holds
Working Paper Biblioteca Digital Colección OECD OECD jbcma-2014-5jxwz80d73q8 (Browse shelf(Opens below)) Not For Loan
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We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise 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 contains a reference chronology for the US business cycle, as 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 area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator. Keywords: economic cycles; euro area; recurrence plots; turning points JEL classification: C14, C40, E32

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