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Filtering German economic conditions from a large dataset : the new DIW economic barometer

Viefers, Paul; Fichtner, Ferdinand; Junker, Simon; … - 2014

This paper presents a revised version of the DIW Economic Barometer, the business cycle index of the German Institute for Economic Research (DIW Berlin). As in earlier versions, we put forward a factor model on a monthly frequency to filter the latent state of the aggregate economy. In the new...

Persistent link: https://www.econbiz.de/10010417490

Forecasting German key macroeconomic variables using large dataset methods

Pirschel, Inske; Wolters, Maik H. - 2014

We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that consists of 123 variables in quarterly frequency. These three approaches handle the dimensionality problem evoked by such a large dataset by aggregating information, yet on different...

Persistent link: https://www.econbiz.de/10010357899

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

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/10012955198

Real‐time weakness of the global economy

Leiva‐Leon, Danilo; Pérez-Quirós, Gabriel; Rots, Eyno - 2020

We propose an empirical framework to measure the degree of weakness of the global economy in real-time. It relies on nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advanced economies (U.S., Euro Area, Japan, U.K., Canada and...

Persistent link: https://www.econbiz.de/10012249766

Business tendency surveys and macroeconomic fluctuations

Kaufmann, Daniel; Scheufele, Rolf - 2015

We investigate the information content of business tendency surveys for key macroeconomic variables in Switzerland. To summarise the information of a large data set of sectoral business tendency surveys we extract a small number of common factors by a principal components estimator. The...

Persistent link: https://www.econbiz.de/10010508347

A high-frequency GDP indicator for Switzerland

Kronenberg, Philipp - 2024

augmentation, incorporating stochastic volatility in the state equation, and accounting for serial correlation in the measurement …

Persistent link: https://www.econbiz.de/10014562886

The deep historical roots of macroeconomic volatility

Tang, Sam Hak Kan; Leung, Charles Ka Yui - 2016

We present cross-country evidence that a country's macroeconomic volatility, measured either by the standard deviation … volatility in postwar periods. Robustness checks reveal that the effect of this historical variable on volatility remains … that the state history variable is more important in countries with a higher level of macroeconomic volatility. …

Persistent link: https://www.econbiz.de/10011447664

To raise the golden anchor? : Financial crises and uncertainty during the Great Depression

Ferderer, J. Peter; Zalewski, David A. - In: The journal of economic history 59 (1999) 3, pp. 624-658

Persistent link: https://www.econbiz.de/10001415029

New evidence on the fluctuations in ocean freight rates in the 1850s

Klovland, Jan Tore - In: Explorations in economic history : EEH 46 (2009) 2, pp. 266-284

Persistent link: https://www.econbiz.de/10003867181

New evidence on the causes of the fluctuations in ocean freight rates in the 1850s : harvest failures, business cycles, and the Crimean War

Klovland, Jan Tore (contributor) - 2007

Persistent link: https://www.econbiz.de/10003634220