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dc.contributor.authorBessec, Marie
dc.date.accessioned2019-07-12T09:04:32Z
dc.date.available2019-07-12T09:04:32Z
dc.date.issued2019
dc.identifier.issn0747-4938
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19228
dc.language.isoenen
dc.subjectBusiness cyclesen
dc.subjectMarkov-switchingen
dc.subjectmixed-frequency dataen
dc.subject.ddc339en
dc.subject.classificationjelE.E3.E32en
dc.subject.classificationjelE.E3.E37en
dc.subject.classificationjelC.C2.C22en
dc.titleRevisiting the transitional dynamics of business-cycle phases with mixed-frequency dataen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper introduces a Markov-switching model in which transition probabilities depend on higher frequency indicators and their lags through polynomial weighting schemes. The MSV-MIDAS model is estimated through maximum likelihood (ML) methods with a slightly modified version of Hamilton’s filter. Monte Carlo simulations show that ML provides accurate estimates, but they suggest some caution in interpreting the tests of the parameters in the transition probabilities. We apply this new model to forecast business cycle turning points in the United States. We properly detect recessions by exploiting the link between GDP growth and higher frequency variables from financial and energy markets.en
dc.relation.isversionofjnlnameEconometric Reviews
dc.relation.isversionofjnlvol38en
dc.relation.isversionofjnlissue7en
dc.relation.isversionofjnldate2019
dc.relation.isversionofjnlpages711-32en
dc.relation.isversionofdoi10.1080/07474938.2017.1397837en
dc.relation.isversionofjnlpublisherTaylor & Francisen
dc.subject.ddclabelMacroéconomieen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2019-07-12T08:48:08Z
hal.person.labIds53432$$$163511$$$215495
hal.identifierhal-02181552*


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