Identifying and Forecasting the Turns of the Japanese Business-Cycle

Kholodilin, Konstantin A.
(2003)

Files

2003-8.pdf
  • Open Access
  • Adobe PDF
  • 211.5 KB
Download

Details

Authors
  • Kholodilin, Konstantin A.
    Author
Abstract
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.
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Kholodilin, K. A. (2003). Identifying and Forecasting the Turns of the Japanese Business-Cycle (ECON Discussion Papers 2003/42). https://hdl.handle.net/2078.5/130141