A new turning point signalling system using the Markov switching model with application to Japan, the USA and Australia

Article


Layton, Allan P. and Katsuura, Masaki. 2001. "A new turning point signalling system using the Markov switching model with application to Japan, the USA and Australia." Applied Economics. 33 (1), pp. 59-70. https://doi.org/10.1080/00036840121698
Article Title

A new turning point signalling system using the Markov switching model with application to Japan, the USA and Australia

ERA Journal ID40291
Article CategoryArticle
AuthorsLayton, Allan P. (Author) and Katsuura, Masaki (Author)
Journal TitleApplied Economics
Journal Citation33 (1), pp. 59-70
Number of Pages11
Year2001
PublisherTaylor & Francis
Place of PublicationUnited Kingdom
ISSN0003-6846
1466-4283
Digital Object Identifier (DOI)https://doi.org/10.1080/00036840121698
Web Address (URL)https://www.tandfonline.com/doi/abs/10.1080/00036840121698
Abstract

A new business cycle turning point signalling system is proposed and examined by using Japanese, US and Australian composite indexes of economic activity. Time varying transition probabilities in a Markov regime-switching model are used as the basis of the signalling system. The performance of the system is satisfactory, though its reliability varies between peaks and troughs and across countries. Based on data up until May 1998, the system suggests the absence of turning points in any of the three countries in 1998.

Keywordsbusiness cycle turning point signalling system; Japan; USA; United States; Australia; Markov
ANZSRC Field of Research 2020380203. Economic models and forecasting
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Byline AffiliationsFaculty of Business
Meijo University, Japan
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