Detecting Turning Points in Global Economic Activity

28 Pages Posted: 21 Aug 2019

See all articles by Ursel Baumann

Ursel Baumann

European Central Bank (ECB)

RamÌn GÌmez-Salvador

European Central Bank (ECB)

Franz Seitz

Technical University of Applied Sciences Weiden

Date Written: August, 2019

Abstract

We present non-linear models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2017. We first estimate Markov Switching models within a univariate framework. These models support the relevance of three business cycle regimes (recessions, low growth and high growth) for economic activity at the global level and in advanced and emerging economies. In a second part, we find that the regimes of the Markov Switching models can be well explained with activity, survey and commodity price variables within a discrete choice framework, specifically multinomial logit models, therefore reinforcing the economic interpretation of the regimes.

Keywords: global GDP, Markov Switching, multinomial logit, turning points

JEL Classification: C34, C35, E32

Suggested Citation

Baumann, Ursel and GÌmez-Salvador, RamÌn and Seitz, Franz, Detecting Turning Points in Global Economic Activity (August, 2019). ECB Working Paper No. 2310, Available at SSRN: https://ssrn.com/abstract=3440600

Ursel Baumann (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 20
Frankfurt am Main, D-60311
Germany

RamÌn GÌmez-Salvador

European Central Bank (ECB) ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

Franz Seitz

Technical University of Applied Sciences Weiden ( email )

Hetzenrichter Weg 15
D-92637 Weiden i.d. Opf
Germany
(49) 961-382-1318 (Fax)

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