erc/metu
INTERNATIONAL CONFERENCE IN ECONOMICS  IV
September 13-16, 2000, Ankara

A Markov-Switching Model of Business Cycles: Canadian Perspective

Serkan Özbeklik (University of Guelph, Canada)

Abstract

In this paper, we use a non-linear autoregressive Markov-switching model as Hamilton (1989), hereafter MS(4),in which non-linearities arise if there are unobservable discrete regime shifts in the process, in order to measure Canadian business cycles. Our paper consists of four parts. In the first part, a brief description of the model and data used are given. In the second part, we focus on the nature of Canadian business cycles and try to date them using the results obtained from MS(4) model. Then, we compare the features and dates of Canadian cycles with U.S ones and show the relationship between them. Finally, several tests are employed to examine how MS(4) compares with simple linear benchmarks.

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