Real-time macroeconomic data are typically incomplete for today and the immediate past (?ragged edge?) and subject to revision. To enable more timely forecasts the recent missing data have to be dealt with. In the context of the U.S. leading index we assess four alternatives,paying explicit...

Generally, a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares several currency crisis dating methods adopting different definitions of currency pressure indexes and ad-hoc and extreme value based thresholds. We illustrate the methods...

The industrial revolution is mostly seen as a supply side phenomenon. Ever since Gilboy stated that factors of demand may have been equally important, scholars have stressed the importance of investments and technological change. This paper re-considers Gilboy?s ideas, using the dataset of the...

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system (EWS) for six countries in Asia in which indicators do work. Our binary choice model, which has been estimated for the period 1970:01?2001.12, has the following features. We...

This paper employs concepts from information theory in factor models. We show that in the exact factor model the whole distribution of eigenvalues of the covariance matrix contributes to the information and not only the largest ones. In addition, we derive the condition that the first q say...

This paper derives a new criterion for the determination of the number of factors in static approximate factor models, that is strongly associated with the scree test. Our criterion looks for the number of eigenvalues for which the difference between adjacent eigenvalue-component number blocks...

The Global Financial Crisis (GFC) has aected many regions including Latin America. This paper focuses on currency crises in Argentina, Brazil and Mexico. We estimate an Early Warning System, consisting of a dynamic factor model and an ordered logit model, with monthly data for 1990-2007. Ex ante...