In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information...

Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we analyze whether such claims...

We show that the single-index dynamic factor model developed by Aruoba and Diebold (Am Econ Rev, 100:20-24, 2010) to construct an index of US business cycle conditions is also very useful for forecasting US GDP growth in real time. In addition, we adapt the model to include survey data and...

We propose a Markov-switching dynamic factor model to construct an index of global business cycle conditions, for performing short-term forecasts of quarterly world GDP growth in real time and computing real-time business cycle probabilities. To overcome the real-time forecasting challenges, the...

We propose a model to compute short-term forecasts of the Euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. In this context,...

The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into trend and cycle are analized for the case of annual, quarterly, and monthly data. It is seen that aggregation of the disagreggate component estimators cannot be obtained as the exact result from...

The aim of this paper is to characterize the cyclical properties of Spanish real and nominal housing related variables. Our three main results are: First, housing appears to lead the business cycle. Second, fluctuation in home prices are positively related to those of residential investment,...

This paper examines the adjustment of inventories by firms in the UK and Spain. A widely-held view—but one which has not found much support in previous studies of inventories— is that a key channel for monetary policy is through influencing inventory accumulation. Using a large company-level...

One of the most extended empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that the positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of...