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nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advanced …
Persistent link: https://www.econbiz.de/10012422043
nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advanced …
Persistent link: https://www.econbiz.de/10012838842
To date, there has been little investigation of the impact of seasonal adjustment on the detection of business cycle expansion and recession regimes. We study this question both analytically and through Monte Carlo simulations. Analytically, we view the occurrence of a single business cycle...
Persistent link: https://www.econbiz.de/10011604403
We investigate the usefulness of the European Commission confidence indicators in forecasting real GDP growth rates in the short-run in selected euro area countries (Belgium, Spain, Germany, France, Italy and the Netherlands) which account for almost 90% of the euro area. We estimate a linear...
Persistent link: https://www.econbiz.de/10011604179
This paper derives forecasts for euro area real GDP growth based on a bottom up approach from the production side. That is, GDP is forecast via the forecasts of value added across the different branches of activity, which is quite new in the literature. Linear regression models in the form of...
Persistent link: https://www.econbiz.de/10011605021
This paper derives forecasts for euro area real GDP growth based on a bottom up approach from the production side. That is, GDP is forecast via the forecasts of value added across the different branches of activity, which is quite new in the literature. Linear regression models in the form of...
Persistent link: https://www.econbiz.de/10012768380
We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock (such as the Covid-19 recession), financial variables...
Persistent link: https://www.econbiz.de/10012422098
We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock (such as the Covid-19 recession), financial variables...
Persistent link: https://www.econbiz.de/10012829414
Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model, we evaluate the accuracy of real-time...
Persistent link: https://www.econbiz.de/10011606011
Using a novel quarterly dataset on debt financing of non-financial corporations, this paper provides the first empirical evaluation of the relative importance of loan and market-based finance (MBF) supply shocks on business cycles in the euro area as a whole and in its five largest countries. In...
Persistent link: https://www.econbiz.de/10013368003