A new approach to dating and predicting Australian business cycle phase changes
Article
Layton, Allan P.. 1997. "A new approach to dating and predicting Australian business cycle phase changes
." Applied Economics. 29 (7), pp. 861-868. https://doi.org/10.1080/000368497326516
| Article Title | A new approach to dating and predicting Australian business cycle phase changes |
|---|---|
| ERA Journal ID | 40291 |
| Article Category | Article |
| Authors | Layton, Allan P. |
| Journal Title | Applied Economics |
| Journal Citation | 29 (7), pp. 861-868 |
| Number of Pages | 8 |
| Year | 1997 |
| Publisher | Taylor & Francis |
| Place of Publication | United Kingdom |
| ISSN | 0003-6846 |
| 1466-4283 | |
| Digital Object Identifier (DOI) | https://doi.org/10.1080/000368497326516 |
| Web Address (URL) | https://www.tandfonline.com/doi/abs/10.1080/000368497326516 |
| Abstract | Due to well-known lags, counter-cyclical macroeconomic policies often exacerbate, rather than ameliorate, business cycles. Early recognition of upcoming phase shifts, particularly contractions, may assist in fine-tuning such policies. This objective is pursued in the paper by applying Hamilton's (1989, 1990, 1991) quasi-Bayesian, Markovian, regime-switching model to monthly growth rates of leading, long -leading and coincident indexes of Australian economic activity. A simple rule applied to regime probabilities for each data point of the coincident index produces a phase chronology that is very similar to that produced by the Bry and Boschan (1971) turning point algorithm. The regime switching model is also applied to the leading and long-leading indexes. The application of a simple rule to the resultant regime probabilities is found to result in a potentially very reliable advance signalling system for Australian business cycle phase changes. |
| Keywords | business cycle |
| Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
| Byline Affiliations | Queensland University of Technology |
Permalink -
https://research.usq.edu.au/item/yy4q0/a-new-approach-to-dating-and-predicting-australian-business-cycle-phase-changes
64
total views0
total downloads0
views this month0
downloads this month
Export as
Related outputs
The global fiscal response to COVID-19: Risks and repercussions
Makin, Anthony J. and Layton, Allan. 2021. "The global fiscal response to COVID-19: Risks and repercussions." Economic Analysis and Policy. 69, pp. 340-349. https://doi.org/10.1016/j.eap.2020.12.016A report on the development of learning standards for economics in Australia
Guest, Ross and Layton, Allan P.. 2016. "A report on the development of learning standards for economics in Australia." Australasian Journal of Economics Education. 13 (1), pp. 1-12.Decomposition analysis for assessing the United States 2025 emissions target: how big is the challenge?
Shahiduzzaman, Md and Layton, Allan. 2017. "Decomposition analysis for assessing the United States 2025 emissions target: how big is the challenge?" Renewable and Sustainable Energy Reviews. 67, pp. 372-383. https://doi.org/10.1016/j.rser.2016.08.042The world and “The world business cycle chronology”
Layton, Allan P., Banerji, Anirvan and Achuthan, Lakshman. 2015. "The world and “The world business cycle chronology”." OECD Journal of Business Cycle Measurement and Analysis. 2015 (1), pp. 23-40. https://doi.org/10.1787/jbcma-2015-5jrtfl953jxpDecomposition analysis to examine Australia's 2030 GHGs emissions target: how hard will it be to achieve?
Shahiduzzaman, Md and Layton, Allan. 2015. "Decomposition analysis to examine Australia's 2030 GHGs emissions target: how hard will it be to achieve?" Economic Analysis and Policy. 48, pp. 25-34. https://doi.org/10.1016/j.eap.2015.10.003On the contribution of information and communication technology to productivity growth in Australia
Shahiduzzaman, Md, Layton, Allan and Alam, Khorshed. 2015. "On the contribution of information and communication technology to productivity growth in Australia." Economic Change and Restructuring: an international journal devoted to the study of comparative economics, planning and development. 48 (3-4), pp. 281-304. https://doi.org/10.1007/s10644-015-9171-9Changes in CO2 emissions over business cycle recessions and expansions in the United States: a decomposition analysis
Shahiduzzaman, Md. and Layton, Allan. 2015. "Changes in CO2 emissions over business cycle recessions and expansions in the United States: a decomposition analysis ." Applied Energy. 150, pp. 25-35. https://doi.org/10.1016/j.apenergy.2015.04.007Decomposition of energy-related CO2 emissions in Australia: challenges and policy implications
Shahiduzzaman, Md., Layton, Allan and Alam, Khorshed. 2015. "Decomposition of energy-related CO2 emissions in Australia: challenges and policy implications." Economic Analysis and Policy. 45, pp. 100-111. https://doi.org/10.1016/j.eap.2014.12.001Economics for today. 3rd Asia Pacific edition
Layton, Allan P., Robinson, Tim and Tucker, Irvin B.. 2009. Economics for today. 3rd Asia Pacific edition . Melbourne, Australia. Cengage Learning Australia.Dating the 'world business cycle'
Banerji, Anirvan, Layton, Allan P. and Achuthan, Lakshman. 2012. "Dating the 'world business cycle'." Applied Economics. 44 (16), pp. 2051-2063. https://doi.org/10.1080/00036846.2011.558479University of Southern Queensland (case study 3)
Layton, Allan and Clarke, John. 2011. "University of Southern Queensland (case study 3)." Stella, Anthony and Bhushan, Sudhanshu (ed.) Quality assurance of transnational higher education: the experiences of Australia and India. Delhi, India. Australian Universities Quality Agency / National University of Educational Planning and Administration. pp. 145-155Economics for today
Layton, Allan, Robinson, Tim and Tucker, Irvin B.. Wade, Frances (ed.) 2005. Economics for today. Melbourne, Australia. Nelson.Economics for today, 1st ed.
Layton, Allan P, Robinson, Tim and Tucker, Irvin B. Waters, Kay (ed.) 2002. Economics for today, 1st ed. Melbourne. Nelson.A new turning point signalling system using the Markov switching model with application to Japan, the USA and Australia
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/10.1080/00036840121698Quantifying the Effect of the GST on Inflation in Australia's Capital Cities: An Intervention Analysis
Valadkhani, Abbas and Layton, Allan P.. 2004. "Quantifying the Effect of the GST on Inflation in Australia's Capital Cities: An Intervention Analysis ." The Australian Economic Review. 37 (2), pp. 125-138. https://doi.org/10.1111/j.1467-8462.2004.00314.xWhat is a recession?: a reprise
Layton, Allan P. and Banerji, Anirvan. 2003. "What is a recession?: a reprise." Applied Economics. 35 (16), pp. 1789-1797. https://doi.org/10.1080/0003684032000152853Comparison of regime switching, probit and logit models in dating and forecasting US business cycles
Layton, Allan P. and Katsuura, Masaki. 2001. "Comparison of regime switching, probit and logit models in dating and forecasting US business cycles." International Journal of Forecasting. 17 (3), pp. 403-417. https://doi.org/10.1016/S0169-2070(01)00096-6Business cycle dynamics with duration dependence and leading indicators
Layton, Allan P. and Smith, Daniel R.. 2007. "Business cycle dynamics with duration dependence and leading indicators." Journal of Macroeconomics. 29 (4), pp. 855-875. https://doi.org/10.1016/j.jmacro.2006.02.003Sources of volatility in Australia's export prices: evidence from ARCH and GARCH modelling
Valadkhani, Abbas, Layton, Allan P. and Karunaratne, Neil D.. 2005. "Sources of volatility in Australia's export prices: evidence from ARCH and GARCH modelling." Global Business and Economics Review. 7 (4), pp. 295-310. https://doi.org/10.1504/GBER.2005.008291Measures of national export price volatility based on the capital asset pricing model
Layton, Allan P. and Valadkhani, Abbas. 2004. Measures of national export price volatility based on the capital asset pricing model. Brisbane, Australia. Queensland University of Technology.A note on the rising cost of education in Australia
Valadkhani, Abbas, Worthington, A. C. and Layton, Allan P.. 2005. "A note on the rising cost of education in Australia." Economic Papers: a journal of applied economics and policy. 24 (2), pp. 97-106.Comparing probability forecasts in Markov regime switching business cycle methods
Smith, Daniel R. and Layton, Allan P.. 2007. "Comparing probability forecasts in Markov regime switching business cycle methods." Journal of Business Cycle Measurement and Analysis. 3 (1), pp. 79-98. https://doi.org/10.1787/jbcma-v2007-art4-enMultiple structural breaks in Australia's macroeconomic data: an application of the Lumsdaine and Papell Test
Layton, Allan P., Valadkhani, Abbas and Pahlavani, Mosayeb. 2005. "Multiple structural breaks in Australia's macroeconomic data: an application of the Lumsdaine and Papell Test." International Journal of Applied Econometrics and Quantitative Studies. 2 (3), pp. 19-32.A cross-country anaylsis of export prices in OECD countries
Valadkhani, Abbas and Layton, Allan P.. 2006. "A cross-country anaylsis of export prices in OECD countries." Economic Papers: a journal of applied economics and policy. 25 (4), pp. 331-346.Examining similarities among phases of business cycles: is the 1990's US expansion similar to the 1960's?
Layton, Allan P. and Katsuura, Masaki. 2001. "Examining similarities among phases of business cycles: is the 1990's US expansion similar to the 1960's?" Journal of the Japan Statistical Society. 31 (2), pp. 129-152.Do the phases of the business cycle die of old age?
Di Venuto, Nicholas and Layton, Allan P.. 2005. "Do the phases of the business cycle die of old age?" Australian Economic Papers. 44 (3), pp. 290-305. https://doi.org/10.1111/j.1467-8454.2005.00266.xA cross-country analysis of export prices in OECD countries
Valadkhani, Abbas and Layton, Allan P.. 2006. "A cross-country analysis of export prices in OECD countries." Economic Papers: a journal of applied economics and policy. 25 (4), pp. 331-346. https://doi.org/10.1111/j.1759-3441.2006.tb00406.xA note on the rising cost of education in Australia
Valadkhani, Abbas, Worthington, Andrew C. and Layton, Allan P.. 2005. "A note on the rising cost of education in Australia." Economic Papers: a journal of applied economics and policy. 24 (2), pp. 97-106. https://doi.org/10.1111/j.1759-3441.2005.tb00997.xA further note on the three phases of the US business cycle
Layton, Allan P. and Smith, Daniel. 2000. "A further note on the three phases of the US business cycle ." Applied Economics. 32 (9), pp. 1133-1143. https://doi.org/10.1080/000368400404272The impact of socio‐economic factors on gambling expenditure
Layton, Allan and Worthington, Andrew. 1999. "The impact of socio‐economic factors on gambling expenditure ." International Journal of Social Economics. 26 (1-3), pp. 430-440. https://doi.org/10.1108/03068299910230035Dating and predicting phase changes in the U.S. business cycle
Layton, Allan P.. 1996. "Dating and predicting phase changes in the U.S. business cycle ." International Journal of Forecasting. 12 (3), pp. 417-428. https://doi.org/10.1016/0169-2070(95)00663-XA test of the cost of carry relationship for the Australian 90 day bank accepted bill futures market
Heaney, Richard A. and Layton, Allan P.. 1996. "A test of the cost of carry relationship for the Australian 90 day bank accepted bill futures market ." Applied Financial Economics. 6 (2), pp. 143-153. https://doi.org/10.1080/096031096334376Further on the Nature of the Australian Business Cycle
Layton, Allan P.. 1994. "Further on the Nature of the Australian Business Cycle ." The Economic Record. 70 (208), pp. 12-18. https://doi.org/10.1111/j.1475-4932.1994.tb01820.xEstimates of the Macroeconomic Impact of Foreign Investment in Asutralia
Layton, Allan P. and Makin, Tony. 1993. "Estimates of the Macroeconomic Impact of Foreign Investment in Asutralia ." International Economic Journal. 7 (4), pp. 35-42. https://doi.org/10.1080/10168739300000011A further test of the influence of leading indicators on the probability of US business cycle phase shifts
Layton, Allan P. 1988. "A further test of the influence of leading indicators on the probability of US business cycle phase shifts ." International Journal of Forecasting. 14 (1), pp. 63-70. https://doi.org/10.1016/S0169-2070(97)00051-4Do Leading Indicators Really Predict Australian Business Cycle Turning Points?
Layton, Allan P.. 1977. "Do Leading Indicators Really Predict Australian Business Cycle Turning Points? " The Economic Record. 73 (222), pp. 258-269. https://doi.org/10.1111/j.1475-4932.1997.tb00999.xThis item comprises data from the following sources: Scopus