OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

Turning point chronology for the euro area

A distance plot approach You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3314011ec005.pdf
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Author(s):
Peter Martey ADDO, Monica Billio, Dominique Guégan
13 Nov 2014
Pages:
14
Bibliographic information
No.:
8,
Volume:
2014,
Issue:
1
Pages:
1–14
http://dx.doi.org/10.1787/jbcma-2014-5jxwz80d73q8

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We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the concept of recurrence plots on the US Industrial Production Index (IPI) series; this serves as a benchmark for our analysis since it already contains a reference chronology for the US business cycle, as provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept to construct a turning point chronology for the euro area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator.

Keywords: economic cycles; euro area; recurrence plots; turning points
JEL classification: C14, C40, E32

 
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