Business Cycles Dating for EU Economies: An Empirical Search for the Optimal Settings

quantf research Working Paper Series: WP05/2014

34 Pages Posted: 2 Jun 2014

See all articles by George Kapetanios

George Kapetanios

King's College, London

Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Fotis Papailias

Quantf Research; University of London, King's College London, Department of Management

Date Written: June 1, 2014

Abstract

This paper investigates the estimation of turning points in the business cycles of six major EU economies and the EA. The core dating algorithm as implemented by King and Plosser (1994) is used here and it sheds some more light in the recent financial crisis. We are particularly concerned with the applied researcher's problem of choosing the optimal dating parameters settings for identifying recessions. Our empirical analysis using four key macroeconomic variables suggests the use of 5 phase periods for quarterly and 15 phase periods for monthly data.

Keywords: Business Cycles, Recession

Suggested Citation

Kapetanios, George and Marcellino, Massimiliano and Papailias, Fotis, Business Cycles Dating for EU Economies: An Empirical Search for the Optimal Settings (June 1, 2014). quantf research Working Paper Series: WP05/2014, Available at SSRN: https://ssrn.com/abstract=2444415 or http://dx.doi.org/10.2139/ssrn.2444415

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Massimiliano Marcellino

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Fotis Papailias (Contact Author)

Quantf Research ( email )

London
United Kingdom

HOME PAGE: http://www.quantf.com

University of London, King's College London, Department of Management ( email )

150 Stamford Street
London, SE1 9NN
United Kingdom

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