Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners

This research work was proposed to detect and analyze the economic and growth cycles in Tunisia and that of its principal European partner countries over a monthly period from January 1990 to May 2017, relying on two approaches: a parametric approach, namely the Markov switching autoregressive model...

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Bibliographic Details
Published in:Journal of the knowledge economy 2022-03, Vol.13 (1), p.656-686
Main Author: Helali, Kamel
Format: Article
Language:English
Subjects:
Business cycles
Economic conditions
Economic growth
Economic Policy
Economics
Economics and Finance
Entrepreneurship
Free trade
GDP
Gross Domestic Product
Industrialized nations
Knowledge economy
R & D/Technology Policy
Recessions
Regression analysis
Tourism
Trade agreements
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Summary:This research work was proposed to detect and analyze the economic and growth cycles in Tunisia and that of its principal European partner countries over a monthly period from January 1990 to May 2017, relying on two approaches: a parametric approach, namely the Markov switching autoregressive model, and a non-parametric one, known as the Bry-Boschan method. The obtained results have proved that the cyclical regularity of the Tunisian economy is close to the characteristics of the economic cycle observed in the Euro-zone countries. On the basis of the smoothed and filtered probabilities obtained using the MS(2)-VAR(1) regime switching models, the study of the similarities between the cyclical phases of Tunisia and the European countries tends to prove the speculations related to the impact of the duration on the end of the recession phases of the classical cycle.
ISSN:1868-7865
1868-7873
DOI:10.1007/s13132-021-00740-x