Roczniki Kolegium Analiz Ekonomicznych

Zeszyt 36/2015

Kolegium Analiz Ekonomicznych oświadcza, że wersją pierwotną czasopisma jest wersja papierowa.

Monika Kośko, Marta Kwiecień, Joanna Stempińska

Identyfikacja punktów zwrotnych cykli koniunkturalnych wybranych krajów z wykorzystaniem modeli Markowa

***

Use of the Markov switching models for identification of turning points in the business cycles of selected countries

Abstract
The article presents an example of application of the Markov switching models (MS) to identify phases and turning points in the business cycles of selected countries, including Poland. Models are calculated on the basis of GDP series. The Markov switching models constitute a more developed structure of Markov chains. In the MS models it is not necessary to determine states (regimes), because they are unobservable. However, based on the value of the transition probabilities between the states, moments of transition between states and the time of being in the states can be predicted. With regard to business cycles, the states of the process match the phases of the business cycle. The Markov switching model identifies these states and allows to calculate the most important statistic values such as the mean and variance (in states) and to forecast turning points of business cycles.

Artykuł: PDF

spis treści zeszytu 36

sie wyburaczylo