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Business Cycles around the Globe: A Regime Switching Approach

Author

Listed:
  • Sumru Altuğ

    (Koç University, CEPR)

  • Melike Bildirici

    (Department of Economics, Yildiz Technical University)

Abstract

This paper characterizes business cycle phenomena in a sample of 22 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each country in question. The paper also provides a comparison of the business cycle turning points implied by this study and those derived in other studies and by other methods. Our findings document the importance of heterogeneity of individual countries’ experiences. We also argue that consideration of a large and diverse group of countries provides an alternative perspective on the co-movement of aggregate economic activity worldwide.

Suggested Citation

  • Sumru Altuğ & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Working Papers 0031, Yildiz Technical University, Department of Economics, revised Mar 2010.
    • Handle: RePEc:yil:wpaper:0005
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    File URL: http://www.ikt.yildiz.edu.tr/RePEc/yil/makaleler/altug0031.pdf
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    More about this item

    Keywords

    Markov Switching Approach; Business Cycles; Turning Point Analysis; Nonparametric Modelling;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • 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

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