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...

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...

In this paper, I develop the leading indicators of the business cycle turning points exploiting the quarterly panel dataset comprising OECD countries and Russia over the 1980-2013 period. Contrasting to the previous studies, I combine data on OECD countries and Russia into a single dataset and...

In this chapter we provide a guide for the construction, use and evaluation of leading indicators, and an assessment of the most relevant recent developments in this field of economic forecasting. To begin with, we analyze the problem of indicator selection, choice of filtering methods, business...

In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald band-pass .lter is employed to isolate the cycle using the de.nition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The main advantage of...

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

The objective of this study is to develop a system of leading indicators of the business cycle turning points for a wide range of countries, including Russia, over a period of more than thirty years. We use a binary choice model with the dependent variable of the state of economy: the recession,...

We provide a summary updated guide for the construction, use and evaluation of leading indicators, and an assessment of the most relevant recent developments in this field of economic forecasting. To begin with, we analyse the problem of selecting a target coincident variable for the leading...

In the wake of the recent international economic recession in 2008-2009, forecasting methods designed to anticipate business cycles have been widely revisited. Recent innovative econometric methods were presented and widely discussed by academics and economists from international and national...

We evaluate the usefulness of satellite-based data on nighttime lights for the prediction of annual GDP growth across a global sample of countries. Going beyond traditional measures of luminosity, such as the sum of lights within a country's borders, we propose several innovative distribution-...