We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...

This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic Institute on a monthly basis since 1976. In line...

This paper presents a coincident and a leading composite monthly indicator for the world business cycle - the Global Economic Barometers. Both target the world's output growth rate cycle. The calculation of these indicators comprises two main stages. The first consists of a variable selection...

We propose a nonparametric test that distinguishes “depressions” and “booms” from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle...

This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic Institute on a monthly basis since 1976. In line...

This paper presents a coincident and a leading composite monthly indicator for the world business cycle - the Global Economic Barometers. Both target the world’s output growth rate cycle. The calculation of these indicators comprises two main stages. The first consists of a variable selection...

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...

This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic Institute on a monthly basis since 1976. In line...

In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the...

This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...