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We construct a composite index to measure real activity of the Swiss economy on a weekly frequency. The index is based … means of a real-time evaluation, we highlight the importance of our proposed adjustment procedure: first, our weekly index … significantly outperforms a comparable index without adjusted input variables; secondly, the weekly index outperforms established …
Persistent link: https://www.econbiz.de/10012511470
We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in...
Persistent link: https://www.econbiz.de/10011732586
Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...
Persistent link: https://www.econbiz.de/10012395297
In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...
Persistent link: https://www.econbiz.de/10011999163
This paper presents a weekly GDP indicator for Switzerland, which addresses the limitations of existing economic … approximates weekly quarteron-quarter GDP growth for Switzerland and provides valuable information on the trajectory of GDP at high …
Persistent link: https://www.econbiz.de/10014564024
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...
Persistent link: https://www.econbiz.de/10011646914
-time data flow as well as parameter uncertainty and time-varying volatility. In addition, we develop a fast estimation algorithm …
Persistent link: https://www.econbiz.de/10012119825
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
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/10011710012
We develop a small-scale dynamic factor model for the Swiss economy allowing for non-linearities by means of a two-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting performance is as good as that of peers with richer...
Persistent link: https://www.econbiz.de/10012892535