In this paper we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at the same frequency to mixed-frequency data. Our MIDASSO approach is a combination of the unrestricted MIxed-frequency DAta-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et...

We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...

In this study we suggest a chronology of the classical business cycle in Switzerland. To this end we use two approaches: the approach of Artis et al. (2004) and an approach based on Markov-switching models (Hamilton, 1989). Our results show that similar conclusions can be reached by applying the...

We investigate whether the KOF Economic Barometer - a leading indicator released by the KOF Swiss Economic Institute - is useful for short-term prediction of quarterly year-on-year real GDP growth in Switzerland. Using a real-time data set consisting of historical vintages of GDP data and the...

Can information extracted from newspaper articles help forecasting the economy? A new study at KOF in which we conduct a simple keyword search after the word "recession" in the newspapers Handelsblatt and Neue Zürcher Zeitung (NZZ), as an attempt to grasp the German and the Swiss business cycle...

On the basis of keyword searches in newspaper articles several versions of the Recession-word Index (RWI) are constructed for Germany and Switzerland. We use these indices in order to track the business cycle dynamics in these two countries. Our main findings are the following. First, we show...

The paper addresses the question on what is the typical time horizon over which a full transmission of movements in the real exchange rate into real economy takes place. To this end, we base our analysis on the mixed-frequency small-scale dynamic factor model of Siliverstovs (2012) fitted to the...

In this study we construct the R(ecession)-word index for Switzerland. To the best of our knowledge, this has never been done before. We evaluate the extent to which the inclusion of the index contributes to more accurate forecasts of GDP growth compared with a benchmark autoregressive model. We...

This study investigates the usefulness of business tendency surveys collected at the KOF Swiss Economic Institute and aggregated in the form of the KOF Employment Indicator for short-term forecasting of employment in Switzerland. We use a real-time dataset in order to simulate the actual...

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...