Monash University
Browse
monash_2322.pdf (768.64 kB)

Non-linear Modelling of the Australian Business Cycle Using a Leading Indicator

Download (768.64 kB)
journal contribution
posted on 2017-11-03, 00:15 authored by Shami, Roland G., Forbes, Catherine S.
This paper develops a new non-linear model to analyse the business cycle by exploiting the relationship between the asymmetrical behaviour of the cycle and leading indicators. The model proposed is an innovations form of the structural model underlying simple exponential smoothing that is augmented by a latent Markov switching process. Furthermore, the probabilities that drive the Markov process vary with the growth of the leading indicator. The proposed model is used to analyse the Australian business cycle using the gross domestic product as a proxy and the industrial materials prices index as the exogenous leading indicator influencing the transition probabilities. Model parameters are estimated using a Gibbs sampling algorithm and subsequently used for forecasting purposes.

History

Year of first publication

2002

Series

Department of Econometrics and Business Statistics.

Usage metrics

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC