Turning point chronology for the Euro-Zone: A Distance Plot ApproachReportar como inadecuado




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* Corresponding author 1 CES - Centre d-économie de la Sorbonne 2 PSE - Paris School of Economics 3 Università Ca- Foscari of Venice

Abstract : We propose a transparent way of establishing a turning point chronology for the Euro-zone business cycle. Our analysis is achieve by exploiting the concept of recurrence plots, in this case distance plot, to characterize and detect turning points in the business cycle for any economic system. Firstly, we exploit the concept of recurrence plots on the US Industrial Production Index IPI series to serve as a beachmark for our analysis since there already exist reference chronology for the US business cycle, provided by the Dating Committee of the National Bureau of Economic Research NBER. We then use this concept in constructing a turning point chronology for the Euro-zone business cycle. In particular, we show that this approach permits to detect turning points and study the business cycle without a priori assumptions on the statistical properties on the underlying economic indicator.

Résumé : Nous proposons une nouvelle approche permettant d-établir les changements de tendance dans le cycle d-activité de la zone euro. Elle est basée sur la notion de distance plot. Nous illustrons notre approche en utilisant l-indice de production industriel américain qui nous sert de benchmark pour calibrer notre méthode. Puis nous l-appliquons à la zone euro pour détecter les points de retournement et le cycle d-activité.

Mots-clés : economic cycles turning points Euro-zone Recurrence Plots cycles économiques points de retournement zone euro





Autor: Peter Martey Addo - Monica Billio - Dominique Guegan -

Fuente: https://hal.archives-ouvertes.fr/



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