A nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The conclusion supports the hypothesis of an economic regime change in the eurozone, affecting in particular the peripheral countries of southern Europe, ignited by the creation of the common currency.
|Number of pages||10|
|Journal||Physica A: Statistical Mechanics and its Applications|
|Publication status||Published - 1 Oct 2018|
- Economic divergence
- Economic regime change
- Expected hitting times
- Markov chain