An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy
This paper provides an accurate chronology of the Spanish reference business cycle adapting a multiple change-point model. In that approach, each combination of peaks and troughs dated in a set of economic indicators is assumed to be a realization of a mixture of bivariate Gaussian distributions, wh...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-09-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/18/2241 |
| _version_ | 1797518311391494144 |
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| author | Maximo Camacho María Dolores Gadea Ana Gómez-Loscos |
| author_facet | Maximo Camacho María Dolores Gadea Ana Gómez-Loscos |
| author_sort | Maximo Camacho |
| collection | DOAJ |
| description | This paper provides an accurate chronology of the Spanish reference business cycle adapting a multiple change-point model. In that approach, each combination of peaks and troughs dated in a set of economic indicators is assumed to be a realization of a mixture of bivariate Gaussian distributions, whose number of components is estimated from the data. The means of each of these components refer to the dates of the reference turning points. The transitions across the components of the mixture are governed by Markov chain that is restricted to force left-to-right transition dynamic. In the empirical application, seven recessions in the period from February 1970 to February 2020 are identified, which are in high concordance with the timing of the turning point dates established by the Spanish Business Cycle Dating Committee (SBCDC). |
| first_indexed | 2024-03-10T07:28:06Z |
| format | Article |
| id | doaj.art-7f286e670408439cb4c980f41c4dd5eb |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T07:28:06Z |
| publishDate | 2021-09-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-7f286e670408439cb4c980f41c4dd5eb2023-11-22T14:05:26ZengMDPI AGMathematics2227-73902021-09-01918224110.3390/math9182241An Automatic Algorithm to Date the Reference Cycle of the Spanish EconomyMaximo Camacho0María Dolores Gadea1Ana Gómez-Loscos2Department of Quantitative Analysis, Campus de Espinardo, University of Murcia, 30100 Murcia, SpainDepartment of Applied Economics, University of Zaragoza, 50005 Zaragoza, SpainBanco de España, Alcalá, 48, 28014 Madrid, SpainThis paper provides an accurate chronology of the Spanish reference business cycle adapting a multiple change-point model. In that approach, each combination of peaks and troughs dated in a set of economic indicators is assumed to be a realization of a mixture of bivariate Gaussian distributions, whose number of components is estimated from the data. The means of each of these components refer to the dates of the reference turning points. The transitions across the components of the mixture are governed by Markov chain that is restricted to force left-to-right transition dynamic. In the empirical application, seven recessions in the period from February 1970 to February 2020 are identified, which are in high concordance with the timing of the turning point dates established by the Spanish Business Cycle Dating Committee (SBCDC).https://www.mdpi.com/2227-7390/9/18/2241business cyclesturning pointsfinite mixture modelsSpain |
| spellingShingle | Maximo Camacho María Dolores Gadea Ana Gómez-Loscos An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy Mathematics business cycles turning points finite mixture models Spain |
| title | An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy |
| title_full | An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy |
| title_fullStr | An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy |
| title_full_unstemmed | An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy |
| title_short | An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy |
| title_sort | automatic algorithm to date the reference cycle of the spanish economy |
| topic | business cycles turning points finite mixture models Spain |
| url | https://www.mdpi.com/2227-7390/9/18/2241 |
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