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Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach
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| Creator |
Osińska, Magdalena; Nicolaus Copernicus University
Kufel, Tadeusz; Nicolaus Copernicus University Błażejowski, Marcin; WSB University in Toruń Kufel, Paweł; WSB University in Toruń |
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| Subject |
business cycle; central and eastern economies; threshold models; forecasting; bootstrap
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| Description |
We propose to apply a time-series-based nonlinear mechanism in the threshold autoregression (TAR) form in order to examine business cycles in Central and Eastern European economies and compare them to the entire EU business cycle. The threshold variables, such as consumer price index, short and long interest rates, unemployment rate and an exchange rate vs. the U.S. Dollar, have been considered. The purpose of the paper is to model and to predict business cycles in Central and East European (CEE) economies (the EU Member States) and compare them to business cycles of the entire EU28 area and Eurozone EU19. We found that the exogenous mechanism played an important role in diagnosing the phases of business cycles in CEE economies, which is in line with the entire EU economic area. The results of business cycle forecasting using bootstrap technique are quite promising, while bootstrap confidence intervals are used for diagnosis.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
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| Date |
2016-12-29
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.008
10.12775/DEM.2016.008 |
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| Source |
Dynamic Econometric Models; Vol 16 (2016); 145-164
Dynamic Econometric Models; Vol 16 (2016); 145-164 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2016.008/10751
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| Rights |
Copyright (c) 2016 Dynamic Econometric Models
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