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

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...

What is the meaning of green shoots? In this paper we provide a statistical definition of this term which allows us to analyze where, when and how the recovery started. With the same methodology, we coform that the symptoms of recovery are clear in the US, the Euro area and Spain with some...

We analyze the redistributive role played by governments during the 1990s expansionary economic cycle in several OECD countries. We find a duality among countries: while governments in the Euro-area play a crucial role in the redistributive process, government interventions reduce 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 set out 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 dataset that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this dataset...

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...

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

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,...