Progresses in fiscal consolidation programs are often expressed in cyclically-adjusted terms, meaning that business cycles have to be accurately estimated. In this paper, we put forward a parametric framework enabling to assess business cycles, especially at the end of recession periods by...

This paper proposes a two-regime Bounce-Back Function augmented Self-Exciting Threshold AutoRegression (SETAR) which allows for various shapes of recoveries from the recession regime. It relies on the bounce-back effects first analyzed in a Markov-Switching setup by Kim, Morley and Piger [2005]...

This paper proposes a two-regime Bounce-Back Function augmented Self-Exciting Threshold AutoRegression (SETAR) model which allows for various shapes of recoveries from the recession regime. It relies on the bounce-back effects which were first analyzed in a Markov-Switching setup by Kim, Morley,...