An automatic algorithm to date the reference cycle of the Spanish economy

Camacho M. ; Gadea M.D. (Universidad de Zaragoza) ; Gómez-Loscos A.

Resumen: This paper provides an accurate chronology of the Spanish reference business cycle adapting a multiple change-point model. In that approach, each combination of peaks and troughs dated in a set of economic indicators is assumed to be a realization of a mixture of bivariate Gaussian distributions, whose number of components is estimated from the data. The means of each of these components refer to the dates of the reference turning points. The transitions across the components of the mixture are governed by Markov chain that is restricted to force left-to-right transition dynamic. In the empirical application, seven recessions in the period from 1970.2 to 2020.2 are identified, which are in high concordance with the timing of the turning point dates established by the Spanish Business Cycle Dating Committee (SBCDC). © 2021 by the authors. Licensee MDPI, Basel, Switzerland.

Idioma: Inglés

DOI: 10.3390/math9182241

Año: 2021

Publicado en: Mathematics 9, 18 (2021), 9182241 [17 pp.]
ISSN: 2227-7390

Factor impacto JCR: 2.592 (2021)

Categ. JCR: MATHEMATICS rank: 21 / 333 = 0.063 (2021) - Q1 - T1

Factor impacto CITESCORE: 2.9 - Engineering (Q2) - Mathematics (Q2) - Computer Science (Q2)

Factor impacto SCIMAGO: 0.538 - Computer Science (miscellaneous) (Q2) - Engineering (miscellaneous) (Q2)

Financiación: info:eu-repo/grantAgreement/ES/AEI/PID2019-107192GB-I00
Financiación: info:eu-repo/grantAgreement/ES/MCIU/ECO2017-83255-C3-1-P
Financiación: info:eu-repo/grantAgreement/ES/MCIU/ECO2017-83255C3-3-P

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Aplicada (Dpto. Economía Aplicada)