English, Article, Journal or magazine article edition: Identifying and Forecasting the Turns of the Japanese Business Cycle Konstantin A., Kholodilin

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Identifying and Forecasting the Turns of the Japanese Business Cycle
Author
  • Konstantin A., Kholodilin
Physical Description
  • preprint
Notes
  • In this paper we identify and try to predict the turning points of the Japanese business cycle. As a measure of the business cycle we use a composite economic indicator (CEI). This indicator is endowed with nonlinear dynamics to capture the asymmetries between different cyclical phases. Two types of nonlinear dynamics are considered : Markov switching and smooth transition autoregression (STAR). The performance of these models in terms of forecasting the business cycle turns is compared. Both types of models produce statistically equivalent in-sample forecasting results, whilst the CEI with exponential STAR tends to outperform the CEI with Markov-switching and logistic STAR in the out-of-sample prediction.
  • composite economic indicator;Markov switching;smooth transition autoregression;turning points;reference cycle;forecasting
  • RePEc:ctl:louvir:2003008
Language
  • English
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