TY - BOOK ID - 84539494 TI - Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model PY - 1999 SN - 1462356990 1451986424 1281601330 9786613782021 1451898614 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Exports and Imports KW - Macroeconomics KW - Industries: General KW - Economic Methodology KW - Business Fluctuations KW - Cycles KW - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) KW - Macroeconomics: Production KW - International Investment KW - Long-term Capital Movements KW - Personal Income, Wealth, and Their Distributions KW - Economic growth KW - International economics KW - Business cycles KW - Industrial production KW - Cyclical indicators KW - International investment position KW - Personal income KW - Production KW - External position KW - National accounts KW - Industries KW - Investments, Foreign KW - Income KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84539494 AB - This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov process. The procedure is applied to the series that make up the composite U.S. coincident indicator to obtain business cycle turning points. The business cycle chronology is closer to the NBER reference cycle than the turning points obtained from the individual series using a univariate model. The model is also used to forecast the series, with encouraging results. ER -