In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid...

Governments and central banks need to have an accurate and timely assessment of gross domestic product's (GDP) growth rate for the current quarter, as this is essential for providing a reliable and early analysis of the current economic situation. This paper presents a series of models conceived...

This paper develops a new monthly World Trade Leading Indicator (WTLI) that relies on nonparametric and parametric approaches. Compared to the CPB World Trade Monitor’s benchmark indicator for global trade the WTLI captures turning points in global trade with an average lead between 2 and...

[eng] We describe a new coincident probabilistic cyclical indicator developed by the Banque de France in order to detect, on a monthly basis, the turning points in the French economy’s acceleration cycle. The indicator is based on the methodology of Markov-switching models and uses the...

This article extends earlier efforts at redating the US industrial cycles for the prewar period (1890–1938) using the methodologies proposed by Bry and Boschan (1971) and Hamilton (1989) and based on the monthly industrial production index constructed by Miron and Romer (1990). The alternative...

After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great Moderation period in the literature, the 2008-2009 worldwide recession adversely impacted output levels in most of advanced countries. This Great Recession period was characterized...