A new turning point signalling system using the Markov switching model with application to Japan, the USA and Australia

A new business cycle turning point signalling system is proposed and examined by using Japanese, US and Australian composite indexes of economic activity. Time varying transition probabilities in a Markov regime-switching model are used as the basis of the signalling system. The performance of the s...

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Veröffentlicht in:	Applied economics 2001, Vol.33 (1), p.59-70
Hauptverfasser:	Layton, Allan P., Katsuura, Masaki
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied economics Australia Business cycles Economic activity Economics International capital market Japan Markov analysis Markovian processes Probability Signalling Studies Time series U.S.A
Online-Zugang:	Volltext
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