In this paper we analyze the power of various indicators to predict growth rates of aggregate production using real-time data. In addition, we assess their ability to predict turning points of the economy. We consider four groups of indicators: survey data, composite indicators, real economic...

Survey data can offer timely information on the current state of the economy and its short-term outlook. In this paper, we propose a "Swiss Economic Confidence Index" (SEC). This is a monthly indicator based on aggregating a selection of individual survey indicators, which we show to have...

We consider a linear stochastic univariate rational expectations model, with a predetermined variable, and provide alternative representations of SSEs (stationary sunspot equilibria). For a strict subset of the parameter space there exist SSEs that are locally stable under least squares learning...

We develop a monetary model with flexible supply of labor, cash in advance constraints and government spending financed by seignorage. This model has two regimes. One regime is conventional with two steady states. The other regime has a unique steady state which can be determinate or...

We present an Uncertainty Perception Indicator (UPI) for Germany based on the dynamic topic modelling technique RollingLDA. In contrast to conventional LDA, where all data is processed in one go, the recursive structure of RollingLDA ensures that data is made available for modeling as soon as it...

This paper assesses producer-expectation-driven business cycle fluctuations. Based on theoretical predictions of a multi-sector model with market frictions and adjustment cost, and using a unique panel of producer-level data, it seeks to unravel the patterns of dynamic responses to producers'...

This paper studies the impact of Higher Order Belief shocks, representing shifts in agents' beliefs about others' beliefs, on macroeconomic outcomes. The dynamic causal effects of these shocks are identified by leveraging a combination of a proxy-VAR approach and DSGEbased instruments. Our...

This paper studies the impact of Higher Order Belief (HOB) shocks, representing shifts in agents' beliefs about others' beliefs, on macroeconomic outcomes. The dynamic causal effects of these shocks are identified by leveraging a combination of a proxy-VAR approach and DSGE-based instruments....

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...