Work

Measuring the probability of a business cycle turning point by using a multivariate qualitative hidden Markov model

Year: 2000

Type: article

Abstract: A two-step procedure to produce a statistical measure of the probability of being in an accelerating or decelerating phase of economic activity is proposed. It consists of, first, an extraction of the individual linear innovations of a set of relevant macroeconomic variables whose signs are accumulated into a qualitative vector process and, second, of a factor analysis applied to this vector. The factor process is a two-state Markov process of order one whose states are described as favourable and unfavourable. Estimated on French business surveys, this measure appears to be a competitive coincident indicator. Copyright © 2000 John Wiley & Sons, Ltd.

Source: Journal of Forecasting

DOI: 10.1002/(sici)1099-131x(200003)19:2<81::aid-for734>3.0.co;2-l

Authors: St�phane Gregoir, Fabrice Lenglart

Institutions: Institut National de la Statistique et des Etudes Economiques, Centre de Recherche en Économie et Statistique

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Core Research for Evolutional Science and Technology

OpenAlex ID: W2016013402