The intricate issue of detecting and forecasting macroeconomic cycles turning points has been once more perfectly illustrated with the global downturn experienced by most countries around the world in 2000-2001. Governments and Central Banks are very sensitive to economic indicators showing...

The class of Markov switching models can be extended in two main directions in a multivariate framework. In the first approach, the switching dynamics are introduced by way of a common latent factor. In the second approach a VAR model with parameters depending on one common Markov chain is...

We propose a dating process for the business and growth Euro-zone cycles. This process is a result of a non parametric algorithm and diverse criteria assessment (duration, deepness, diffusion, synchronisation), as well as of “expert judgments” based on a combination of the following...

This working paper presents a new coincident economic indicator developed by the COE, able to detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic time...