Monitoring the World Business Cycle

We propose a Markov-switching dynamic factor model to construct an index of global business cycle conditions, to perform short-term forecasts of world GDP quarterly growth in real time and to compute real-time business cycle probabilities. To overcome the real-time forecasting challenges, the model accounts for mixed frequencies, for asynchronous data publication and for leading indicators. Our pseudo real-time results show that this approach provides reliable and timely inferences of the world quarterly growth and of the world state of the business cycle on a monthly basis

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Year of publication:	2017
Authors:	Camacho, Maximo
Other Persons:	Martínez-Martín, Jaime (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Konjunkturzusammenhang \| Business cycle synchronization \| Welt \| World \| Konjunktur \| Business cycle