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A System For Dating And Detecting Turning Points In The Euro Area
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- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013.
"Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model,"
Working Papers
2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers No 8/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Paper 2013/20, Norges Bank.
- Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020.
"Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 829-850.
- Heinrich, Markus & Carstensen, Kai & Reif, Magnus & Wolters, Maik, 2017. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168206, Verein für Socialpolitik / German Economic Association.
- Kai Carstensen & Markus Heinrich & Magnus Reif & Maik H. Wolters, 2017. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle," CESifo Working Paper Series 6457, CESifo.
- Kai Carstensen & Markus Heinrich & Magnus Reif & Maik H. Wolters, 2019. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model," Jena Economics Research Papers 2019-006, Friedrich-Schiller-University Jena.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016.
"Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode," Tinbergen Institute Discussion Papers 15-111/III, Tinbergen Institute.
- Proaño, Christian R. & Tarassow, Artur, 2018.
"Evaluating the predicting power of ordered probit models for multiple business cycle phases in the U.S. and Japan,"
Journal of the Japanese and International Economies, Elsevier, vol. 50(C), pages 60-71.
- Christian R. Proaño & Artur Tarassow, 2017. "Evaluating the predicting power of ordered probit models for multiple business cycle phases in the U.S. and Japan," IMK Working Paper 188-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.
- Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
- Marco Gallegati, 2019. "A system for dating long wave phases in economic development," Journal of Evolutionary Economics, Springer, vol. 29(3), pages 803-822, July.
- Olivier Darné & Laurent Ferrara, 2011.
"Identification of Slowdowns and Accelerations for the Euro Area Economy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(3), pages 335-364, June.
- Ferrara, Laurent & Darné, Olivier, 2009. "Identification of slowdowns and accelerations for the euro area economy," CEPR Discussion Papers 7376, C.E.P.R. Discussion Papers.
- Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
- Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012.
"Combination schemes for turning point predictions,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Papers 2012_15, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009.
"Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro,"
Documents de travail du Centre d'Economie de la Sorbonne
09053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
- Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Post-Print halshs-00423890, HAL.
- Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009.
"Un indicateur probabiliste du cycle d'accélération pour l'économie française,"
Economie & Prévision, La Documentation Française, vol. 0(3), pages 95-114.
- Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009. "Un indicateur probabiliste du cycle d’accélération pour l’économie française," Économie et Prévision, Programme National Persée, vol. 189(3), pages 95-114.
- Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016.
"Identification and real-time forecasting of Norwegian business cycles,"
International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
- Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2015. "Identification and real-time forecasting of Norwegian business cycles," Working Paper 2015/09, Norges Bank.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013.
"Turning point chronology for the Euro-Zone: A Distance Plot Approach,"
Documents de travail du Centre d'Economie de la Sorbonne
13025r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2013.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803457, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Post-Print halshs-00803457, HAL.
- repec:spo:wpecon:info:hdl:2441/7349 is not listed on IDEAS
- Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
- Aastveit, Knut Are & Anundsen, André K. & Herstad, Eyo I., 2019.
"Residential investment and recession predictability,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1790-1799.
- Knut Are Aastveit & André K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Paper 2017/24, Norges Bank.
- Knut Are Aastveit & Andr K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Papers No 8/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- 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.
- Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
- Gian Luigi Mazzi & Frédéric Reynès & Matthieu Lemoine & Paola Veroni, 2008.
"Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches,"
SciencePo Working papers Main
hal-01027422, HAL.
- Matthieu Lemoine & Gian Luigi Mazzi & Paola Monperrus-Veroni & Frédéric Reynes, 2008. "Real time estimation of potential output and output gap for the euro-area: comparing production function with unobserved components and SVAR approaches," Documents de Travail de l'OFCE 2008-34, Observatoire Francais des Conjonctures Economiques (OFCE).
- Lemoine, Matthieu & Mazzi, Gian Luigi & Monperrus-Veroni, Paola & Reynes, Frédéric, 2008. "Real time estimation of potential output and output gap for theeuro-area: comparing production function with unobserved componentsand SVAR approaches," MPRA Paper 13128, University Library of Munich, Germany, revised Nov 2008.
- Gian Luigi Mazzi & Frédéric Reynès & Matthieu Lemoine & Paola Veroni, 2008. "Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches," Working Papers hal-01027422, HAL.
- Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
- Proaño, Christian R. & Theobald, Thomas, 2014. "Predicting recessions with a composite real-time dynamic probit model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 898-917.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
- Christophe Bellégo & Laurent Ferrara, 2010.
"A factor-augmented probit model for business cycle analysis,"
Working Papers
hal-04140915, HAL.
- Christophe Bellégo & Laurent Ferrara, 2010. "A factor-augmented probit model for business cycle analysis," EconomiX Working Papers 2010-14, University of Paris Nanterre, EconomiX.
- Heinrich, Markus & Carstensen, Kai & Reif, Magnus & Wolters, Maik, 2017.
"Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle,"
VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking
168206, Verein für Socialpolitik / German Economic Association.
- Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model An application to the German business cycle," Munich Reprints in Economics 84736, University of Munich, Department of Economics.
- Kai Carstensen & Markus Heinrich & Magnus Reif & Maik H. Wolters, 2017. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle," CESifo Working Paper Series 6457, CESifo.
- Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
- repec:hal:wpspec:info:hdl:2441/7349 is not listed on IDEAS
- Gatfaoui, Jamel & Girardin, Eric, 2015.
"Comovement of Chinese provincial business cycles,"
Economic Modelling, Elsevier, vol. 44(C), pages 294-306.
- Jamel Gatfaoui & Eric Girardin, 2015. "Comovement of Chinese provincial business cycles," Post-Print hal-01456105, HAL.
- Jürgen Bierbaumer & Werner Hölzl, 2015. "Business Cycle Dynamics and Firm Heterogeneity. Evidence for Austria Using Survey Data," WIFO Working Papers 504, WIFO.
- repec:spo:wpmain:info:hdl:2441/7349 is not listed on IDEAS
- Ben L. Kyer & Gary E. Maggs, 2019. "Some International Evidence on Double-Dip Recession," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(3), pages 347-362, August.
- Catherine Doz & Anna Petronevich, 2016.
"Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 481-538,
Emerald Group Publishing Limited.
- Catherine Doz & Anna Petronevich, 2015. "Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach," Post-Print hal-01159200, HAL.
- Catherine Doz & Anna Petronevich, 2015. "Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159200, HAL.
- Catherine Doz & Anna Petronevich, 2015. "Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach," Documents de travail du Centre d'Economie de la Sorbonne 15009, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Matthieu Lemoine & Gian Luigi Mazzi & Paola Monperrus-Veroni & Frédéric Reynes, 2010. "A new production function estimate of the euro area output gap This paper is based on a report for Eurostat: 'Real time estimation of potential output, output gap, NAIRU and Phillips curve for Euro-zo," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 29-53.
- Ferrara, L. & Koopman, S J., 2010. "Common business and housing market cycles in the Euro area from a multivariate decomposition," Working papers 275, Banque de France.
- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87, March.
- Agnieszka Gehringer & Thomas Mayer, 2021. "Measuring the Business Cycle Chronology with a Novel Business Cycle Indicator for Germany," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 71-89, April.
- Silvia Palasca & Elisabeta Jaba, 2014. "Leading and Lagging Indicators Of the Economic Crisis," Romanian Statistical Review, Romanian Statistical Review, vol. 62(3), pages 31-47, September.
- repec:hal:spmain:info:hdl:2441/7349 is not listed on IDEAS
- Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
- Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.
- Chu, Gang & Zhang, Yongjie & Zhang, Xiaotao, 2021. "An analysis of impact of cancellation activity on market quality: Evidence from China," Economic Modelling, Elsevier, vol. 102(C).
- Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
- Ferrara, L. & Vigna, O., 2009. "Cyclical relationships between GDP and housing market in France: Facts and factors at play," Working papers 268, Banque de France.