We evaluate techniques for comparing the ability of Markov regime switching (MRS) models to fit underlying regimes of a series of interest. This is particularly important in the business cycle literature where one may be interested in determining whether using leading indicators to allow...

The paper looks at an often debated issue – the decline observed in business cycle volatility – using qualitative data derived from Business Tendency Surveys. It concentrates on the manufacturing sector, providing evidence that volatility slowdown is attributable to a break in the Data...

This paper documents a number of stylized facts of quarterly frequency cyclical fluctuations in a specific group of developing economies, previously belonging to the same country organization, the former Soviet Union. We find that in these countries (1) fluctuations are in general less...

A large majority of summary indicators derived from the individual responses to qualitative Business Tendency Surveys (which are mostly three-modality questions) result from standard aggregation and quantification methods. This is typically the case for the indicators called balances of opinion,...

The forecasting profession, especially when producing forecasts intended to support economic policy, does not currently enjoy a good reputation. Complaints are sometimes voiced about its lack of scientific discipline, which in turn implies that the forecast results may be viewed as arbitrary. At...

This paper assesses the leading indicator properties of the Economic Sentiment Indicator (ESI) of the European Commission, as well as two of its subcomponents, for industrial production growth. For this purpose we perform correlation analysis, Granger causality tests, an assessment on the...