Datación de recesiones en Ecuador: un enfoque integrado (Turning Points, Markov Switching y State-Space)
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Published:
Jun 29, 2026
Keywords:
Recession, Dating, Turning Points, Markov-Switching, State-Space, Leading Indicators
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Abstract
This study constructs a quantitative chronology of recession periods in Ecuador for 2000-2024 using an integrated methodological framework. Unlike institutional approaches based on qualitative assessment, the analysis combines three complementary methods: the Bry-Boschan algorithm for identifying turning points, Markov-Switching models for probabilistic estimation of expansionary and contractionary phases, and State-Space models for extracting the cyclical component through the Kalman filter. The main contribution lies in the implementation of a formal consensus rule based on the intersection of recession signals across methods applied to 10 leading variables, together with robustness metrics such as agreement rate, Jaccard index, lead-lag measures, and average duration that capture the synchronization of the approaches. The results identify seven recession episodes, with strong methodological convergence in events associated with major external shocks, such as the global financial crisis and the COVID-19 pandemic. Overall, the proposed framework reduces discretion in business cycle dating and provides a replicable framework for the ex post characterization of recessionary and cyclical-weakness episodes in emerging and dollarized economies.
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Yaselga Alvarado, E. D., Revelo, K., & Martínez, G. (2026). Datación de recesiones en Ecuador: un enfoque integrado (Turning Points, Markov Switching y State-Space). Cuestiones Económicas, 36(1), Autores: Emanuel Yaselga Alvarado, Karla Revelo y Gregor Martínez. https://doi.org/10.47550/RCE/36.1.3
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Artículos de Investigación
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
References
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Fulop, G., & Gyomai, G. (2012). Transición del sistema CLI de la OCDE a un objetivo de ciclo económico basado en el PIB [{Nota Técnica de la OCDE}]. Organización para la Cooperación y el Desarrollo Económicos. http://www.oecd.org/std/leading--indicators/49985449.pdf
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Morley, J. C. (2010). The Two Interpretations of the Beveridge–Nelson Decomposition. Macroeconomic Dynamics, 15(3), 419-439. https://doi.org/10.1017/S1365100510000118
National Bureau of Economic Research. (2020). US Business Cycle Expansions and Contractions [Report]. National Bureau of Economic Research. https://www.nber.org/research/business-cycle-dating
Pilacuán Erazo, G., Yaselga Alvarado, E. D., Dávila, C., Bunce, A., & Cevallos, E. (2024). Indicadores líderes compuestos del ciclo económico para una economía dolarizada: el caso de Ecuador (Nota Técnica No. 87). Banco Central del Ecuador. https://contenido.bce.fin.ec/documentos/PublicacionesNotas/Catalogo/NotasTecnicas/nota87.pdf
Romer, C. D. (1990). The Great Crash and the Onset of the Great Depression. The Quarterly Journal of Economics, 105(3), 597. https://doi.org/10.2307/2937892
Sichel, D. E. (1994). Inventories and the Three Phases of the Business Cycle. Journal of Business & Economic Statistics, 12(3), 269-277. https://doi.org/10.1080/07350015.1994.10524542
Stock, J. H., & Watson, M. W. (2010). Introduction to Econometrics (3rd ed.). Pearson Education.
Yaselga Alvarado, E. D., & Pilacuán Erazo, G. (2024). Revelando el ciclo económico en Ecuador a través de un filtro óptimo en una economía dolarizada. Cuestiones Económicas, 34(2). https://doi.org/10.47150/34.2.2
Zarnowitz, V. (1992). Business Cycles: Theory, History, Indicators, and Forecasting. The University of Chicago Press.
Avella, M., & Fergusson, L. (2004). El ciclo económico: enfoques e ilustraciones. Los ciclos económicos de Estados Unidos y Colombia. https://doi.org/10.32468/be.284
Blanchard, O. (2021). Macroeconomics (8th ed.). Pearson Education.
Bry, G., & Boschan, C. (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs (Technical Paper No. tech7). National Bureau of Economic Research. https://www.nber.org/books-and-chapters/cyclical-analysis-time--series-selected-procedures-and-computer-programs
Burns, A. F., & Mitchell, W. C. (1946). Measuring Business Cycles (Studies in Business Cycles Nos. burn46-1). National Bureau of Economic Research.
Business Cycle Dating Committee, National Bureau of Economic Research. (2003). The NBER’s Business-Cycle Dating Procedure [Methodological Report]. National Bureau of Economic Research. https://web.stanford.edu/~rehall/BusCycle%204-10-03.pdf
C.D. Howe Institute Business Cycle Council. (2020). C.D. Howe Institute Business Cycle Council Declares Canada Entered Recession in the First Quarter of 2020 [Communique]. C.D. Howe Institute. https://cdhowe.org/publication/canada-entered--recession-first-quarter-2020-cd-howe-institute-business-cycle-council/
C.D. Howe Institute Business Cycle Council. (2023). So Far, So Good: C.D. Howe Institute Business Cycle Council Declares Recession Avoided in 2022, 2023 [Communique]. C.D. Howe Institute. https://cdhowe.org/publication/so-far-so-good-cd-howe-institute--business-cycle-council-declares-recession/
CEPR-EABCN Euro Area Business Cycle Dating Committee. (2023). The latest findings of the CEPR-EABCN Euro Area Business Cycle Dating Committee (EABCDC) – June 2023 [Findings Report]. Centre for Economic Policy Research (CEPR). https://cepr.org/data/euro-area-business-cycle-dating-committee
Chauvet, M., & Hamilton, J. D. (2005). Dating business cycle turning points in real time. International Journal of Forecasting, 21(2), 277-295.
Claessens, S., Kose, M. A., & Terrones, M. E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178-190. https://doi.org/10.1016/j.jinteco.2011.11.008
Durbin, J., & Koopman, S. J. (2012). Time Series Analysis by State Space Methods (2nd ed.). Oxford University Press. https://doi.org/10.1093/acprof:oso/9780199641178.001.0001
Frankel, J. A., & Rose, A. K. (1996). Currency crashes in emerging markets: An empirical treatment. Journal of International Economics, 41(3-4), 351-366. https://doi.org/10.1016/s0022-1996(96)01441-9
Fulop, G., & Gyomai, G. (2012). Transición del sistema CLI de la OCDE a un objetivo de ciclo económico basado en el PIB [{Nota Técnica de la OCDE}]. Organización para la Cooperación y el Desarrollo Económicos. http://www.oecd.org/std/leading--indicators/49985449.pdf
Gómez, V. (2001). The Use of Unobserved Component Models to Estimate Potential Output (Documento de Trabajo No. 0108). Banco de España. https://repositorio.bde.es/handle/123456789/7714
Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357. https://doi.org/10.2307/1912559
Harding, D., & Pagan, A. (2002). Dissecting the cycle: a methodological investigation. Journal of Monetary Economics, 49(2), 365-381. https://doi.org/10.1016/s0304-3932(01)00108-8
Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. https://doi.org/10.1017/CBO9781139173544
International Monetary Fund. (2009). What Is a Recession? Finance & Development, 46(1). https://www.imf.org/external/pubs/ft/fandd/2009/03/basics.htm
International Monetary Fund. (2012). Recession: When Bad Times Prevail. Finance & Development, 49(1). https://www.imf.org/en/Publications/fandd/issues/Series/Back--to-Basics/Recession
Kim, C.-J., & Nelson, C. R. (1999). State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. MIT Press. https://mitpress.mit.edu/9780262112383/state-space-models-with-regime-switching/
Krolzig, H.-M. (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis (Vol. 454). Springer. https://doi.org/10.1007/978-3-642-51419-7
Mitchell, W. C. (1923). Business Cycles. En Committee of the President’s Conference on Unemployment (Ed.), Business Cycles and Unemployment (pp. 7-20). National Bureau of Economic Research; McGraw-Hill. https://www.nber.org/books/comm23-1
Morgan, D. (2022). Uncertainty and the "R" word: What exactly is a "recession"? Office for National Statistics (ONS) Blog. https://blog.ons.gov.uk/2022/11/11/uncertainty-and--the-r-word-what-exactly-is-a-recession/
Morley, J. C. (2010). The Two Interpretations of the Beveridge–Nelson Decomposition. Macroeconomic Dynamics, 15(3), 419-439. https://doi.org/10.1017/S1365100510000118
National Bureau of Economic Research. (2020). US Business Cycle Expansions and Contractions [Report]. National Bureau of Economic Research. https://www.nber.org/research/business-cycle-dating
Pilacuán Erazo, G., Yaselga Alvarado, E. D., Dávila, C., Bunce, A., & Cevallos, E. (2024). Indicadores líderes compuestos del ciclo económico para una economía dolarizada: el caso de Ecuador (Nota Técnica No. 87). Banco Central del Ecuador. https://contenido.bce.fin.ec/documentos/PublicacionesNotas/Catalogo/NotasTecnicas/nota87.pdf
Romer, C. D. (1990). The Great Crash and the Onset of the Great Depression. The Quarterly Journal of Economics, 105(3), 597. https://doi.org/10.2307/2937892
Sichel, D. E. (1994). Inventories and the Three Phases of the Business Cycle. Journal of Business & Economic Statistics, 12(3), 269-277. https://doi.org/10.1080/07350015.1994.10524542
Stock, J. H., & Watson, M. W. (2010). Introduction to Econometrics (3rd ed.). Pearson Education.
Yaselga Alvarado, E. D., & Pilacuán Erazo, G. (2024). Revelando el ciclo económico en Ecuador a través de un filtro óptimo en una economía dolarizada. Cuestiones Económicas, 34(2). https://doi.org/10.47150/34.2.2
Zarnowitz, V. (1992). Business Cycles: Theory, History, Indicators, and Forecasting. The University of Chicago Press.