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Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies

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  • Andrzej Geise

    (Nicolaus Copernicus University)

  • Mariola Pilatowska

    (Nicolaus Copernicus University)

Abstract

The main purpose of the paper is to study the degree to which the Brent crude oil price cycle is correlated and synchronized with business cycle in a set of chosen Central Eastern European (CEE) economies. To indentify the oil price cycle and business cycles for chosen individual countries the Markov-switching autoregressive model (MS-AR) is used. The identification of the smoothed probabilities of being in regime 1 and regime 2 enables the calculation of correlation coefficients between those probabilities and the concordance index to evaluate the synchronization of oil price cycle and business cycles for the CEE economies.

Suggested Citation

  • Andrzej Geise & Mariola Pilatowska, 2013. "Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 175-194.
    • Handle: RePEc:cpn:umkdem:v:13:y:2013:p:175-194
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    References listed on IDEAS

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    More about this item

    Keywords

    Markov switching model; crude oil prices; business cycle; price cycle.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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