Un indicateur d'entrée et sortie de récession: application aux Etats-Unis

Anas, Jacques and Ferrara, Laurent (2002): Un indicateur d'entrée et sortie de récession: application aux Etats-Unis. Published in: Document de travail du COE No. 58 : pp. 1-56.

Abstract

This working paper presents a new coincident economic indicator developed by the COE, able to detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic time series carefully chosen. The filtered probabilities stemming from these series are combined by taking into account the risks of false signals in order to provide a recession probability. This new indicator fruitfully completes the leading indicator IARC, released monthly by the COE, which aims at forecasting the fluctuations of the growth cycle. It is planned to apply this new indicator to the eurozone in the next future.

• Item Type: MPRA Paper
• Institution: Centre d'Observation Economique
• English Title: A start-end recession index: Application for United-States
• Language: French
• Keywords: recession; Markov-switching; USA; real-time indicator
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation

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