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Taking the Temperature - Forecasting GDP Growth for Mainland China

Curran, Declan - 2007

We present a new composite leading indicator of economic activity in mainland China, estimated using a dynamic factor model. Our leading indicator is constructed from three series: exports, a real estate climate index, and the Shanghai Stock Exchange index. These series are found to share a...

Persistent link: https://www.econbiz.de/10012729576

Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model

van Os, Bram - 2020

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...

Persistent link: https://www.econbiz.de/10012823125

Nowcasting Business Cycles : A Bayesian Approach to Dynamic Heterogeneous Factor Models

D'Agostino, Antonello - 2015

We develop a framework for measuring and monitoring business cycles in real time. Following a long tradition in macroeconometrics, inference is based on a variety of indicators of economic activity, treated as imperfect measures of an underlying index of business cycle conditions. We extend...

Persistent link: https://www.econbiz.de/10013016899

Dissecting the financial cycle with dynamic factor models

Menden, Christian; Proaño Acosta, Christian - 2017

The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...

Persistent link: https://www.econbiz.de/10011663432

Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …

Persistent link: https://www.econbiz.de/10012227436

Dissecting the financial cycle with dynamic factor models

Menden, Christian; Proaño Acosta, Christian - 2017

Finanzzyklusmaßgrößen für die USA vor. Diese basieren auf einem großen Datensatz makroökonomischer und finanzieller Variablen. Im Detail …

Persistent link: https://www.econbiz.de/10011710012

Dynamic factor rotation strategy : a business cycle approach

Kwon, Dohyoung - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-12

This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to...

Persistent link: https://www.econbiz.de/10013368326

A banking explanation of the US velocity of money: 1919 - 2004

Benk, Szilárd; Gillman, Max; Kejak, Michal - 2009

velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …

Persistent link: https://www.econbiz.de/10010288749

The young, the old, and the restless : demographics and business cycle volatility

Jaimovich, Nir; Siu, Henry E. - In: The American economic review 99 (2009) 3, pp. 804-826

Persistent link: https://www.econbiz.de/10003863202

Can news about the future drive the business cycle?

Jaimovich, Nir; Rebelo, Sérgio - In: The American economic review 99 (2009) 4, pp. 1097-1118

Persistent link: https://www.econbiz.de/10003896617