This paper constructs a coincident indicator for the Gulf Cooperation Council (GCC) area business cycle. The resulting coincident indicator provides a reliable measure of the GCC business cycle; over the last decade, the GCC coincident index and the real GDP growth have moved closely together....

We analyze historical business cycles as a sum of short- and medium-term cycles defined for a particular class of unobserved component models. By associating the trend with the low frequencies of the pseudo-spectrum in the frequency domain, manipulation of the spectral bandwidth will allow us to...

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...

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...

Business recessions are notoriously hard to predict accurately, hence the quip that economists have predicted eight of the last five recessions. This article derives a six-month-ahead recession signal that reduces the number of false signals outside of recession, without impairing the ability to...

This paper evaluates the ability of a statistical regime-switching model to identify turning points in U.S. economic activity in real time. The authors work with a Markov-switching model fit to real gross domestic product and employment data that, when estimated on the entire postwar sample,...

The economic forecasts for Germany in the period 2001 to 2003 grossly missed reality. Forecasters estimated an average annual growth rate of 1.6 per cent, but real GDP actually grew by only 0.3 per cent per annum. In 2003 the real GDP in Germany even shrank by 0.1 per cent. Forecasters tend to...