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Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners

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  • Kamel Helali

    (University of Sfax)

Abstract

This research work was proposed to detect and analyze the economic and growth cycles in Tunisia and that of its principal European partner countries over a monthly period from January 1990 to May 2017, relying on two approaches: a parametric approach, namely the Markov switching autoregressive model, and a non-parametric one, known as the Bry-Boschan method. The obtained results have proved that the cyclical regularity of the Tunisian economy is close to the characteristics of the economic cycle observed in the Euro-zone countries. On the basis of the smoothed and filtered probabilities obtained using the MS(2)-VAR(1) regime switching models, the study of the similarities between the cyclical phases of Tunisia and the European countries tends to prove the speculations related to the impact of the duration on the end of the recession phases of the classical cycle.

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  • Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.
    • Handle: RePEc:spr:jknowl:v:13:y:2022:i:1:d:10.1007_s13132-021-00740-x
    DOI: 10.1007/s13132-021-00740-x
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    Cited by:

    1. Hamdi Becha & Maha Kalai & Kamel Helali, 2023. "Smooth transition regression model relating inflation to economic growth in Tunisia," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-26, December.

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    More about this item

    Keywords

    Economic and growth cycles; Markov switching model;

    JEL classification:

    • 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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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