Naslov
Business cycle synchronization between Slovenia and the euro area: the Markov Switching regression model approach

Autori
Benazić, Manuel

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Trajnosna organizacija - Sustainable Organization / Doucek, Petr ; Novak, Aleš ; Paape, Bjorn - Portorož : Moderna organizacija, 2016, 70-83

ISBN
978-961-232-285-4

Skup
The 35th International Conference on Organizational Science Development „Sustainable Organization“

Mjesto i datum
Portorož, Slovenija, 16.03.2016. - 18.03.2016

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
switching regression ; regime changes ; cross correlation analysis ; business cycle synchronization

Sažetak
It is well known that economic activity moves differently during periods of expansion compared to periods of recession. Monitoring of these developments became an indispensable part of the business cycle analysis, which is very important for policy makers especially when decisions between countries are made jointly. The idea and introduction of a single European currency has increased interest for business cycle analysis in the euro area countries. Therefore, the aim of this paper is to model and compare business cycles between Slovenia and the euro area 19 countries (EA19). Consequently, Markov Switching regression model and cross correlation analysis are applied within a research domain. The main advantage of the Markov Switching regression model is that it allows nonlinear modeling, which is particularly useful in the analysis of macroeconomic nexus that is subjected to regime changes. Obtained results indicate a relatively high degree of business cycle synchronization in terms of estimated regression coefficients, transition probabilities and expected durations of the cycles, regime probabilities, etc.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA