循环相动力学的经济指标分析外文文献.pdf

OECD Journal: Journal of Business Cycle Measurement and Analysis Volume 2015/2 © OECD 2016 Report A comparison of economic indicator analysis and Markov switching methods concerning the cycle phase dynamics by Pami Dua and Vineeta Sharma* This paper compares the dating of growth rate cycles obtained from a Markov switching approach with the reference chronologies based on Economic Indicator Analysis (EIA) given by the Economic Cycle Research Institute (ECRI), focusing on a set of developed and emerging economies. The developed countries include US, UK, Germany and Japan, which are compared with an emerging economy, India. Using a univariate Markov regime switching model we characterise growth rate cycle phenomena for these countries by identifying turning points and distinct economic regimes, employing data on the growth rate of the coincident index given by ECRI. Keywords: Economic Indicator Analysis, Growth rate cycles, Markov switching models, business cycle phases JEL Classification: C22, E32 * Corresponding author: Pami Dua, Department of Economics, Delhi School of Economics, University of Delhi, Delhi, India; dua@. Vineeta Sharma, Kirori Mal College, University of Delhi, Delhi, India; vineeta@ We thank the Economic Cycle Research Institute, New York for providing us with the data on the coincident indices and their growth rates used in this paper. 111 A COMPARISON OF ECONOMIC INDICATOR ANALYSIS AND MARKOV SWITCHING METHODS CONCERNING THE CYCLE PHASE 1. Introduction The issue of identification, dating and characterisation of