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 |
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