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relatively mild recessions when the Great Recession of 2008/2009 is included in the sample. Adding a third state helps to clearly …. In a real-time exercise the model detects recessions timely. Combining the estimated factor and the recession … prediction of the timing of the Great Recession and its recovery one quarter in advance. …
Persistent link: https://www.econbiz.de/10012098161
relatively mild recessions when the Great Recession of 2008/2009 is included in the sample. Adding a third state helps to clearly …. In a real-time exercise the model detects recessions timely. Combining the estimated factor and the recession … prediction of the timing of the Great Recession and its recovery one quarter in advance. …
Persistent link: https://www.econbiz.de/10011646914
We propose a simple modification of Hamilton’s (2018) time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical...
Persistent link: https://www.econbiz.de/10012233667
The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions …
Persistent link: https://www.econbiz.de/10010340611
and none of the models would have been able to predict the Great Recession. …
Persistent link: https://www.econbiz.de/10010357899
The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions …
Persistent link: https://www.econbiz.de/10009673738
The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions …
Persistent link: https://www.econbiz.de/10009682078
relatively mild recessions when the Great Recession of 2008/2009 is included in the sample. Adding a third state helps to clearly …. In a real-time exercise the model detects recessions timely. Combining the estimated factor and the recession … prediction of the timing of the Great Recession and its recovery one quarter in advance …
Persistent link: https://www.econbiz.de/10012955198
Persistent link: https://www.econbiz.de/10012134188
We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...
Persistent link: https://www.econbiz.de/10011987786