In a pioneering attempt we present the R(ecession)-word index for Switzerland. We evaluate its predictive ability of GDP growth using real-time vintages of GDP data, closely simulating flow of information in the past. We find that inclusion of the R-word index led to statistically significant...

We use real-time annual data on the fiscal balance, government current spending, current revenues and net capital outlays as published at a half yearly frequency in the OECD Economic Outlook for 25 OECD countries. For each fiscal year t we have a number of forecasts, a first release, and...

Real-time macroeconomic data refl ect the information available to market participants, whereas fi nal data-containing revisions and released with a delay-overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is signifi...

This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook...

In this paper we present a methodology which can help to improve the assessment of the current economic situation. We propose an approach which combines multivariate single equations to forecast the monthly growth rate of industrial production with a density forecast. This allows to estimate the...

We use real-time annual data on the fiscal balance, government current spending, current revenues and net capital outlays as published at a half yearly frequency in the OECD Economic Outlook for 25 OECD countries. For each fiscal year t we have a number of forecasts, a first release, and...