Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach

M. Osińska, Tadeusz Kufel, Marcin Błażejowski, Paweł Kufel
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Abstract

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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使用阈值方法建模和预测中东欧国家的商业周期
我们建议在阈值自回归(TAR)形式中应用基于时间序列的非线性机制,以检查中欧和东欧经济体的商业周期,并将其与整个欧盟商业周期进行比较。门槛变量,如消费者物价指数,短期和长期利率,失业率和汇率对美元,已经被考虑。本文的目的是对中欧和东欧(CEE)经济体(欧盟成员国)的商业周期进行建模和预测,并将其与整个欧盟28国和欧元区19国的商业周期进行比较。研究发现,外生机制在中东欧经济体经济周期阶段的诊断中发挥了重要作用,这与整个欧盟经济区一致。自举法预测经济周期的结果是很有希望的,而自举置信区间用于诊断。
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