Narrow search
Showing 1 - 10 of 4,318
Cover Image
An Inflation-Predicting Measure of the Output Gap in the Euro Area
Jarocinski, Marek - 2016
are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features … of the model, we evaluate the accuracy of real-time inflation forecasts from different model specifications. The version … that forecasts inflation best implies that after the 2011 sovereign debt crisis the output gap in the euro area has been …
Persistent link: https://www.econbiz.de/10012981025
Cover Image
Business Cycle Dating and Forecasting with Real-Time Swiss GDP Data
Glocker, Christian - 2019
We develop a small-scale dynamic factor model for the Swiss economy allowing for non-linearities by means of a two-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting performance is as good as that of peers with richer...
Persistent link: https://www.econbiz.de/10012892535
Cover Image
Business cycle dating and forecasting with real-time Swiss GDP data
Glocker, Christian; Wegmüller, Philipp - 2017
We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in...
Persistent link: https://www.econbiz.de/10011732586
Cover Image
A dynamic factor model for nowcasting Canadian GDP growth
Chernis, Tony; Sekkel, Rodrigo - 2017
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. The model is then used to generate nowcasts, predictions of the recent past and...
Persistent link: https://www.econbiz.de/10011592353
Cover Image
A high-frequency GDP indicator for Switzerland
Kronenberg, Philipp - 2024
This paper presents a weekly GDP indicator for Switzerland, which addresses the limitations of existing economic activity indicators using alternative high-frequency data created in the wake of the COVID-19 pandemic. The indicator is obtained from a Bayesian mixed-frequency dynamic factor model...
Persistent link: https://www.econbiz.de/10014562886
Cover Image
Real-time nowcasting of nominal GDP under structural breaks
Barnett, William A.; Chauvet, Marcelle; Leiva-Leon, Danilo - 2014
containing information on real economic activity, inflation, interest rates and Divisia monetary aggregates produces the most …
Persistent link: https://www.econbiz.de/10010401309
Cover Image
Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - 2020
estimated trend. Based on output growth and inflation forecasts and a comparison to revised output gap estimates from policy …
Persistent link: https://www.econbiz.de/10012233667
Cover Image
Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model
Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2019
We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...
Persistent link: https://www.econbiz.de/10012098161
Cover Image
A monthly leading indicator of Swiss GDP growth based on Okun's law
Kugler, Peter; Sheldon, George - In: Swiss journal of economics and statistics 159 (2023) 1, pp. 1-14
We propose a unique method of nowcasting and forecasting GDP growth based on a forward-looking measure of unemployment (FLUR) and Okun's law that offers a number of advantages over current leading indicators of the Swiss business cycle. The following investigation, covering the period from...
Persistent link: https://www.econbiz.de/10014506541
Cover Image
Do daily lead texts help nowcasting GDP growth?
Burri, Marc - 2023
This paper evaluates whether publicly available daily news lead texts help nowcasting Swiss GDP growth. I collect titles and lead texts from three Swiss newspapers and calculate text-based indicators for various economic concepts. A composite indicator calculated from these indicators is highly...
Persistent link: https://www.econbiz.de/10014324815