This paper analyzes if each European country presents business cycles that are similar enough to validate what some authors call the European cycle. Contrary to the majority of papers on business cycles, we concentrate on the appearance of the cycle, not on the synchronization. We provide a...

We propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, always trying to "leave the data speak". Out of this framework, we propose a novel method to show that there is no "Euro economy" that acts as an...

We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition...

We analyze the dynamic interactions between commodity prices and output growth of the seven biggest Latin American exporters: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel defi nition of Markovswitching impulse response functions, we fi nd that the response of...

We extend the Markov-switching dynamic factor model to account for some of the specificities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefits of this extension and corroborate the...

We examine the short-term performance of two alternative approaches to forecasting using dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the nonseasonally adjusted data...

I find that real US GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of...

This paper uses an extension of the Euro-Sting single-index dynamic factor model to construct short-term forecasts of quarterly GDP growth for the euro area, as also including financial variables as leading indicators. From a simulated real-time exercise, the model is used to investigate the...

In this paper we extend the Stock and Watson’s (1991) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different frequencies and delays with respect to the period to which...

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