Business cycle dating

05-Jul-2017 16:34

We study the suggestion that Markov switching (MS) models should be used to determine cyclical turning points.

A Kalman filter approximation is used to derive the dating rules implicit in such models.

We interpret dates into recession shading data using one of three arbitrary methods.

All of our recession shading data is available using all three interpretations.

the peak is included in the recession shading, but the trough is not).

For daily data, the recession begins on the first day of the month of the peak and ends on the last day of the month preceding the trough. A version of this time series represented using the peak method can be found at: NBER based Recession Indicators for the United States from the Period following the Peak through the Trough For example, invert an exchange rate by using formula 1/a, where “a” refers to the first FRED data series added to this line.

For this time series, the recession begins the first day of the period following a peak and ends on the last day of the period of the trough.

Our time series is composed of dummy variables that represent periods of expansion and recession.

Burns and Mitchell 1946 set out methods to do this and these eventually became established through the institution of the NBER committee that is responsible for the dating of the US business cycle. The methods used in performing such dating are many and varied, largely due to the fact that there is no single measure of.… continue reading »

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Although the NBER does not date recessions before 1857, economists customarily extrapolate dates of U. S. recessions back to 1790 from business annals based on various contemporary descriptions. Their work is aided by historical patterns, in that recessions often follow external shocks to the economic system such as.… continue reading »

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