dc.contributor.author | Aastveit, Knut Are | |
dc.contributor.author | Jore, Anne Sofie | |
dc.contributor.author | Ravazzolo, Francesco | |
dc.date.accessioned | 2018-04-25T09:57:42Z | |
dc.date.available | 2018-04-25T09:57:42Z | |
dc.date.issued | 2015 | |
dc.identifier.isbn | 978-82-7553-866-4 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2495865 | |
dc.description.abstract | We de fine and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching models and Markov-switching factor models. On the basis of a receiver operating characteristic curve methodology and a comparison of business cycle turning points with Norway's main trading partners, we find that a Markov-switching factor model provides the most reasonable definition of Norwegian business cycles for the sample 1978Q1-2011Q4. In a real-time out-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a financial conditions index are timely and accurate in calling the last peak in real time. The models are less accurate and timely in calling the trough in real time. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;9/2015 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | JEL: C32 | nb_NO |
dc.subject | JEL: C52 | nb_NO |
dc.subject | JEL: C53 | nb_NO |
dc.subject | JEL: E37 | nb_NO |
dc.subject | JEL: E52 | nb_NO |
dc.subject | business cycle | nb_NO |
dc.subject | dating rules | nb_NO |
dc.subject | turning points | nb_NO |
dc.subject | real-time data | nb_NO |
dc.title | Identification and Real-Time Forecasting of Norwegian Business Cycles | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 10 | nb_NO |