several practical advantages, we also document a better historical nowcasting performance of the new index. …

movements of key macroeconomic variables, i.e., CPI inflation, GDP, employment, and an output gap. In particular, questions … output gap and adds information to the benchmark forecasts for GDP and employment. …

proposed model demonstrates a remarkable performance in short-term and medium-term forecasting. Using real-time GDP data since …

This paper evaluates whether publicly available daily news lead texts help nowcasting Swiss GDP growth. I collect …-based indicators. In a pseudo out-of-sample nowcasting exercise for Swiss GDP growth, the indicator outperforms a monthly Swiss … business cycle indicator if one month of information is available. Improvements in nowcasting accuracy mainly occur in times of …

This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates … regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in … Markov-switching models. After a discussion of estimation and inference for MS-MIDAS, and a small sample simulation based …