Global recessions and booms: what do Probit models tell us?

Ursel Baumann; Ramón Gómez Salvador; Franz Seitz; Ursel Baumann; Ramón Gómez Salvador; Franz Seitz

doi:10.3934/QFE.2019.1.187

Quantitative Finance and Economics

2019, Volume 3, Issue 1: 187-200. doi: 10.3934/QFE.2019.1.187

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Research article

Global recessions and booms: what do Probit models tell us?

1.
European Central Bank, Sonnemannstrasse 20, 60314 Frankfurt am Main, Germany
2.
Weiden Technical University of Applied Sciences, Weiden, Germany

Received: 08 October 2018 Accepted: 29 March 2019 Published: 08 April 2019
JEL Codes: C34, C35, E32

We present non-linear binary Probit models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2016. For that purpose, we use four different business cycle dating methods to identify the regimes (upswings, downswings). We find that especially activity-driven variables are important indicators for the turning points. Moreover, we identify similarities and differences between the different regions in this respect.
- Global GDP,
- Probit,
- turning points
Citation: Ursel Baumann, Ramón Gómez Salvador, Franz Seitz. Global recessions and booms: what do Probit models tell us?[J]. Quantitative Finance and Economics, 2019, 3(1): 187-200. doi: 10.3934/QFE.2019.1.187

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Abstract

We present non-linear binary Probit models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2016. For that purpose, we use four different business cycle dating methods to identify the regimes (upswings, downswings). We find that especially activity-driven variables are important indicators for the turning points. Moreover, we identify similarities and differences between the different regions in this respect.

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