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Research > Macro & Forecasting > [WP05/2014] Business Cycles Dating for EU Economies: An Empirical Search for The Optimal Settings 

[WP05/2014] Business Cycles Dating for EU Economies: An Empirical Search for The Optimal Settings

 


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Business Cycles Dating for EU Economies: An Empirical Search for The Optimal Settings

George Kapetanios, Massimilano Marcellino & Fotis Papailias

quantf research Working Paper Series: WP05/2014


Abstract. This paper investigates the estimation of turning points in the business cycles of six major EU economies and the EA. The core dating algorithm as implemented by King and Plosser (1994) is used here and it sheds some more light in the recent financial crisis. We are particularly concerned with the applied researcher's problem of choosing the optimal dating parameters settings for identifying recessions. Our empirical analysis using four key macroeconomic variables suggests the use of 5 phase periods for quarterly and 15 phase periods for monthly data.

Keywords. Business Cycles, Recession

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F. Papailias - D. Thomakos, (c) 2014
 
 
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