Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area
提出一种基于马尔可夫链的测年算法，强制峰谷交替并满足持续期约束，可评估滤波导致的转折点不确定性，并构建扩散指数以衡量周期运动的广泛性，最后应用于欧元区商业周期的测年与特征分析。
Abstract This paper proposes a dating algorithm based on an appropriately defined Markov chain that enforces alternation of peaks and troughs, and duration constraints concerning the phases and the full cycle. The algorithm, which implements Harding and Pagan's non‐parametric dating methodology, allows an assessment of the uncertainty of the estimated turning points caused by filtering and can be used to construct indices of business cycle diffusion, aiming at assessing how widespread are cyclical movements throughout the economy. Its adaptation to the notion of a deviation cycle and the imposition of depth constraints are also discussed. We illustrate the algorithm with reference to the issue of dating the euro‐area business cycle and analysing its characteristics, both from the classical and the growth cycle perspectives.