A System for Dating and Detecting Turning Points in the Euro Area

Abstract

In the paper we aim to introduce a statistical dating and detection of turning points giving them a first economic interpretation. The main advantage of the proposed approach is represented by the fact that classical and growth cycles are jointly considered both in the dating and in the detecting stage. A key result of this choice is a better description of different economic phases as well as a more accurate investigation of the economic cyclical behaviour. The proposed approach considerably improves the relevance of information delivered to users in comparison with a standard analysis based only on classical or growth cycle components. Copyright � 2008 The Authors. Journal compilation � 2008 Blackwell Publishing Ltd and The University of Manchester.

Residential Investment and Recession Predictability

“…Our paper contributes to the vast number of papers that estimate and predict business cycle turning points (see e.g., Anas et al (2008), Darné andFerrara (2011) andBillio et al (2012) for applications to the euro area, Chauvet (1998), Chauvet and Piger (2008), Pagan (2002, 2006), Hamilton (2011) and Stock and Watson (2014) for applications to the US) by documenting that residential investment contains information over and above other typical leading indicators. We therefore corroborate and extend the findings in Leamer (2007Leamer ( , 2015 by showing that residential investment is important for predicting recessions also in a cross-country setting -especially in countries with a high home-ownership rate.…”

Forecasting euro area recessions by combining financial information

“…, n. It is well known that combining probabilities of recession stemming from various models or variables can improve the accuracy of the results obtained from a single predictor. For example, in the framework of the building of probabilistic indicators of business cycles, Anas et al (2008) have developed recession indicators for real-time detection based on a weighted average of recession probabilities.…”

Forecasting Recessions in Real Time

“…2 Following Krolzig (2000) and Anas et al (2008), we also investigate an MS model which assumes that both the intercept and the volatility are driven by a regime-switching variable. The results are qualitatively similar and available upon request.…”