کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098729 | 1376955 | 2013 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Measuring and predicting heterogeneous recessions
ترجمه فارسی عنوان
اندازه گیری و پیش بینی رکود های ناهمگون
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
This paper examines the usefulness of a more refined business cycle classification for monthly industrial production (IP), beyond the usual distinction between expansions and contractions. Univariate Markov-switching models show that a three regime model is more appropriate than a model with only two regimes. Interestingly, the third regime captures 'severe recessions', contrasting the conventional view that the additional third regime represents a 'recovery' phase. This is confirmed by means of Markov-switching vector autoregressive models that allow for phase shifts between the cyclical regimes of IP and the Conference Board's Leading Economic Index (LEI). The timing of the severe recession regime mostly corresponds with periods of substantial financial market distress and severe credit squeezes, providing empirical evidence for the 'financial accelerator' theory.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 11, November 2013, Pages 2195-2216
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 11, November 2013, Pages 2195-2216
نویسندگان
Cem Ãakmaklı, Richard Paap, Dick van Dijk,