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Dynamic Econometric Models

Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies
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Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies

Authors

  • Andrzej Geise Department of Econometrics and Statistics, Nicolaus Copernicus University in Toruń http://orcid.org/0000-0003-4581-5484
  • Mariola Piłatowska Department of Econometrics and Statistics, Nicolaus Copernicus University in Toruń http://orcid.org/0000-0002-9284-7190

DOI:

https://doi.org/10.12775/DEM.2013.010

Keywords

Markov switching model, crude oil prices, business cycle, price cycle

Abstract

The main purpose of the paper is to study the degree to which the Brent crude oil price cycle is correlated and synchronized with business cycle in a set of chosen Central Eastern European (CEE) economies. To indentify the oil price cycle and business cycles for chosen individual countries the Markov-switching autoregressive model (MS-AR) is used. The identification of the smoothed probabilities of being in regime 1 and regime 2 enables the calculation of correlation coefficients between those probabilities and the concordance index to evaluate the synchronization of oil price cycle and business cycles for the CEE economies.

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Dynamic Econometric Models

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Published

2013-12-12

How to Cite

1.
GEISE, Andrzej and PIŁATOWSKA, Mariola. Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies. Dynamic Econometric Models. Online. 12 December 2013. Vol. 13, pp. 175-194. [Accessed 7 July 2025]. DOI 10.12775/DEM.2013.010.
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Vol. 13 (2013)

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