Relying on dynamic factor business cycle indices for five South-East European countries (Austria(-Hungary), Bulgaria, Greece, Romania, Serbia/Yugoslavia), we document steadily increasing synchronisation as part of a pan-European business cycle before 1913 and the emergence of a regional business...

Based on a freshly built data set and relying on a Bayesian Dynamic Factor Model, this paper constructs business cycle indices for five South-East European (SEE) countries (Austria(-Hungary), Bulgaria, Greece, Romania, Serbia/Yugoslavia) to address two questions: to what extent has there been a...

In this paper, we consider a coincident economic indicator model with regime-switching dynamics and with the time series observed at different frequencies, for instance, at monthly and quarterly frequencies. Until now the only solution was to drop the lower frequency series and to estimate the...

This paper sets up a common unobserved factor model with smooth transition autoregressive dynamics. This model is compared to the already classical common factor model with regime-switching. Both models' in-sample and out-of-sample performance in terms of capturing and predicting the business...