A new approach to dating and predicting Australian business cycle phase changes
Article
Article Title | A new approach to dating and predicting Australian business cycle phase changes |
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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 |
https://research.usq.edu.au/item/yy4q0/a-new-approach-to-dating-and-predicting-australian-business-cycle-phase-changes
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