Classical and modern business cycle measurement: the European case
This paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the 'classical' approach proposed in Burns and Mitchell (1946) of dating and analyzing the business...
| Main Authors: | , |
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| Format: | Working paper |
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University of Oxford
2001
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| _version_ | 1797056583007469568 |
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| author | Krolzig, H Toro, J |
| author_facet | Krolzig, H Toro, J |
| author_sort | Krolzig, H |
| collection | OXFORD |
| description | This paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the 'classical' approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle; we then adopt the 'modern' alternative: the Markov-switching time series model proposed in Hamilton (1989a). The model's regime probabilities provide an optimal statistical inference of the turning point of the European business cycle. For assessing the capacity of the parametric approach to generate the stylized facts of the classical cycle in Europe, the stylized facts of the original data are compared to those of simulated data. The MS VAR model is shown to be a good candidate for use as a statistical instrument to improve the understanding of the business cycle. |
| first_indexed | 2024-03-06T19:24:37Z |
| format | Working paper |
| id | oxford-uuid:1b472b3d-1f16-497b-80b3-1a6faa3b0a77 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T19:24:37Z |
| publishDate | 2001 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:1b472b3d-1f16-497b-80b3-1a6faa3b0a772022-03-26T10:59:31ZClassical and modern business cycle measurement: the European caseWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:1b472b3d-1f16-497b-80b3-1a6faa3b0a77Bulk import via SwordSymplectic ElementsUniversity of Oxford2001Krolzig, HToro, JThis paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the 'classical' approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle; we then adopt the 'modern' alternative: the Markov-switching time series model proposed in Hamilton (1989a). The model's regime probabilities provide an optimal statistical inference of the turning point of the European business cycle. For assessing the capacity of the parametric approach to generate the stylized facts of the classical cycle in Europe, the stylized facts of the original data are compared to those of simulated data. The MS VAR model is shown to be a good candidate for use as a statistical instrument to improve the understanding of the business cycle. |
| spellingShingle | Krolzig, H Toro, J Classical and modern business cycle measurement: the European case |
| title | Classical and modern business cycle measurement: the European case |
| title_full | Classical and modern business cycle measurement: the European case |
| title_fullStr | Classical and modern business cycle measurement: the European case |
| title_full_unstemmed | Classical and modern business cycle measurement: the European case |
| title_short | Classical and modern business cycle measurement: the European case |
| title_sort | classical and modern business cycle measurement the european case |
| work_keys_str_mv | AT krolzigh classicalandmodernbusinesscyclemeasurementtheeuropeancase AT toroj classicalandmodernbusinesscyclemeasurementtheeuropeancase |