We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...

In this chapter we provide a guide for the construction, use and evaluation of leading indicators, and an assessment of the most relevant recent developments in this field of economic forecasting. To begin with, we analyze the problem of indicator selection, choice of filtering methods, business...

Den gängigen Konjunkturprognosen liegen in der Regel komplexe ökonometrische Modelle mit einer Vielzahl von Input-Variablen zugrunde. Das Institut für Demoskopie Allensbach fragt in seiner „Neujahrsfrage“ die Bevölkerung seit Gründung der Bundesrepublik jedes Jahr nach ihren Erwartungen...

Building on a mixed data sampling (MIDAS) model we evaluate the predictive power of a variety of monthly macroeconomic indicators for forecasting quarterly Chinese GDP growth. We iterate the evaluation over forecast horizons from 370 days to 1 day prior to GDP release and track the release days...

In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we re-examine the evidence for this predictor for the...

In this paper we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at the same frequency to mixed-frequency data. Our MIDASSO approach is a combination of the unrestricted MIxed-frequency DAta-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et...

We investigate whether the KOF Barometer - a leading indicator regularly released by the KOF Swiss Economic Institute - can be useful for short-term out-of-sample prediction of year-on-year quarterly real GDP growth rates in Switzerland. We find that the KOF Barometer appears to be useful for...

Accurate and timely information on the current state of economic activity is an important requirement for the policymaking process. Delays in the publication of official statistics mean that a complete picture of economic developments within a particular period emerges only some time after that...