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Back A multivariate system for turning point detection in the euro area


This paper introduces a multivariate Markov-Switching model allowing for a simultaneous construction of coincident indicators for turning points detection for both business and growth cycles. The best performing multivariate model is then chosen within a wide simulation exercise.

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Release date: 5 July 2016

Additional information

Product code: KS-TC-16-007
ISBN 978-92-79-57965-3
ISSN 2315-0807
doi:10.2785/73495
Theme: Economy and finance
Collection: Statistical working papers