Title Analysis of the U.S. business cycle with a vector-Markov-switching model / prepared by Zenon G. Kontolemis

Published [Washington, D.C.] : International Monetary Fund, European I Department, ©1999

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Description 1 online resource Series IMF working paper ; WP/99/107 IMF working paper ; WP/99/107 Summary This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov process. The procedure is applied to the series that make up the composite U.S. coincident indicator to obtain business cycle turning points. The business cycle chronology is closer to the NBER reference cycle than the turning points obtained from the individual series using a univariate model. The model is also used to forecast the series, with encouraging results Bibliography Includes bibliographical references (page 17) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Business cycles -- United States -- Forecasting -- Econometric models United States. Form Electronic book Author International Monetary Fund. European I Department ISBN 1451852967 9781451852967

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