Dua and Miller (1996) created leading and coincident employment indexes for the state of Connecticut, following Moore's (1981) work at the national level. The performance of the Dua-Miller indexes following the recession of the early 1990s fell short of expectations. This paper performs two...

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...

The dynamic factor Markov-switching (DFMS) model introduced by Diebold and Rudebusch (1996) has proven to be a powerful framework to measure the business cycle. We extend the DFMS model by allowing for time-varying transition probabilities, with the aim of accelerating the real-time dating of...

We follow the idea of exploiting cross-sectional information to improve recession probability forecasts by aggregating indicator-specific turning point predictions to obtain economy-wide recession probabilities. This stands in contrast to most of the relevant literature, which relies on an...

Este trabajo propone un nuevo procedimiento para estimar el fechado de los cambios de fase (picos y valles) en un ciclo económico de referencia, a partir del fechado de los cambios de fase en los ciclos económicos específicos de un conjunto amplio de indicadores económicos coincidentes. Cada...

Este trabajo proporciona una cronología precisa del ciclo económico de referencia de la economía española. Para ello, se adapta el procedimiento de fechado, que considera la posibilidad de múltiples puntos de cambio en la fase del ciclo, propuesto por Camacho, Gadea y Gómez Loscos (2021)....

This paper describes the methodologies used for constructing a composite leading indicator for the Austrian economy (CLI-AT). First, a selection of those monthly indicators which overall fare best in showing a "steady" leading behaviour with respect to the Austrian business cycle was performed....