How well do Markov switching models describe actual business cycles? The case of synchronization
马尔可夫转换模型能多好地描述实际经济周期？以同步性为例
Abstract The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs sampling approach to estimate a multivariate Markov switching model of GDP growth for several countries. We look for evidence of synchronization across countries in the sense of common Markov states, covariance of impulses and a long‐run co‐integrating relationship. We then use the fitted data…