Conference paper
ANALYSIS OF THE BUSINESS CYCLE – THE MARKOV-SWITCHING APPROACH
Michał Bernardelli
orcid.org/0000-0002-5504-257X
; Warsaw School of Economics Collegium of Economic Analyses, Poland
Abstract
One of the most effective methods of modeling the current and prediction of the future economic situation is the analysis of the business cycles. Some of the analysis are based on the business tendency surveys. Respondents’ answers to the questions from the surveys are found to be correlated with the official assessment of the economic situation and some of them seem to be completely inaccurate. Nonetheless the gathered data could be used to identify turning points of the business cycle in Poland. In the article Markov-switching models and their usefulness to the analysis of the macroeconomic time series are explored. Turning points from the presented algorithm were compared with the dating given by the OECD. Time delay between the reference and the calculated time series varied depending on the considered historical time interval. It is however sometimes possible to determine the parameters that allow getting the leading indicator. This knowledge could be used by policy-makers to react upon the upcoming crisis on time.
Keywords
business cycle turning point detection; Markov-switching model; Viterbi path
Hrčak ID:
161657
URI
Publication date:
1.10.2015.
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