Wednesday 11 March 2020, 1.00PM to 2.00 pm
Speaker(s): Dick van Dijk (Erasmus)
Postponed: new date to be decided.
Host: Peter Smith
Abstract The dynamic factor Markov-switching (DFMS) model introduced by Chauvet (1998) has proven to be a powerful framework to measure the business cycle. We extend the DFMS framework by allowing for timevarying transition probabilities, with the aim of accelerating the real-time dating of turning points between expansion and recession regimes. Time-variation of the transition probabilities is brought about endogenously using the accelerated score-driven framework and exogenously using the term spread. In a real-time application, using the four components of The Conference Board’s Coincident Economic Index for the period 1959-2019, significantly improved recession dating is obtained.
Location: A/RC014 Alan Maynard Auditorium
Admission: All welcome