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. ISSN 0003-6846

Abstract

A new business cycle turning point signalling system is proposed and examined by using Japanese, US and Australian composite indexes of economic activity. Time varying transition probabilities in a Markov regime-switching model are used as the basis of the signalling system. The performance of the system is satisfactory, though its reliability varies between peaks and troughs and across countries. Based on data up until May 1998, the system suggests the absence of turning points in any of the three countries in 1998.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Permanent restricted access to Published version due to publisher copyright policy.
Depositing User: Mrs Annette Bourne
Faculty / Department / School: Historic - Faculty of Business - No Department
Date Deposited: 11 Oct 2007 01:19
Last Modified: 10 Sep 2013 01:50
Uncontrolled Keywords: business cycle turning point signalling system; Japan; USA; United States; Australia; Markov
Fields of Research (FOR2008): 14 Economics > 1403 Econometrics > 140303 Economic Models and Forecasting
Identification Number or DOI: doi: 10.1080/00036840121698
URI: http://eprints.usq.edu.au/id/eprint/3036

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