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Article Dans Une Revue OECD Journal: Journal of Business Cycle Measurement and Analysis Année : 2014

Turning point chronology for the euro area: A distance plot approach

Résumé

We propose a transparent way of establishing a turning point chronology for the euro area business cycle. Our analysis is achieved by exploiting the concept of recurrence plots, in particular distance plots, to characterise and detect turning points of the business cycle. Firstly, we apply the concept of recurrence plots on the US Industrial Production Index (IPI) series; this serves as a benchmark for our analysis since it already contains a reference chronology for the US business cycle, as provided by the Dating Committee of the National Bureau of Economic Research (NBER). We then use this concept to construct a turning point chronology for the euro area business cycle. In particular, we show that this approach detects turning points and helps with the study of the business cycle without a priori assumptions on the statistical properties of the underlying economic indicator.
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Dates et versions

hal-01310533 , version 1 (02-05-2016)

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Peter Martey Addo, Monica Billio, Dominique Guegan. Turning point chronology for the euro area: A distance plot approach. OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 8, pp.1-14. ⟨10.1787/19952899⟩. ⟨hal-01310533⟩
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