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Leading Indicators: What Have We Learned?

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005

the most relevant recent developments in this field of economic forecasting. To begin with, we analyse the problem of … leading indicator based forecasts, and review the recent literature on the forecasting performance of leading indicators. …

Persistent link: https://www.econbiz.de/10005666459

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a … point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of … predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided. …

Persistent link: https://www.econbiz.de/10005504253

The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy

Wieland, Volker; Wolters, Maik H - C.E.P.R. Discussion Papers - 2010

This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...

Persistent link: https://www.econbiz.de/10008530347

Turning Point Prediction for the UK using CSO Leading Indicators

Artis, Michael J - C.E.P.R. Discussion Papers - 1993

This paper examines the performance of alternative models for predicting turning points in the UK growth cycle. The models are based upon an interpretation of movements in the CSO's composite longer and shorter leading indicators. The difference between the models lies in the choice of method...

Persistent link: https://www.econbiz.de/10005504620

Factor Models in Large Cross-Sections of Time Series

Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

– identification and forecasting. We also review empirical applications on measuring and interpreting business cycles. …

Persistent link: https://www.econbiz.de/10005498094

A Monthly Indicator of the Euro Area GDP

Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gian Luigi - C.E.P.R. Discussion Papers - 2008

A continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. This paper proposes a new monthly indicator of the euro area real Gross Domestic Product (GDP), with several original features. First, it considers both the output side...

Persistent link: https://www.econbiz.de/10005498158

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...

Persistent link: https://www.econbiz.de/10011083232

The Role of Oil Price Shocks in Causing U.S. Recessions

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2014

Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide the first formal analysis of this question with special attention to the...

Persistent link: https://www.econbiz.de/10011083465

Institutions and Business Cycles

Altug, Sumru G.; Emin, Mustafa; Neyapti, Bilin - C.E.P.R. Discussion Papers - 2012

This paper investigates the relationship between the main features of business cycles and the institutional and structural characteristics of countries of up to 62 industrial, emerging and formerly centrally planned economies from all continents. We derive the business cycle characteristics...

Persistent link: https://www.econbiz.de/10011083779

Markov-Switching Mixed-Frequency VAR Models

Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014

This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the...

Persistent link: https://www.econbiz.de/10011083823