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 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...

The paper addresses the question on what is the typical time horizon over which a full transmission of movements in the real exchange rate into real economy takes place. To this end, we base our analysis on the mixed-frequency small-scale dynamic factor model of Siliverstovs (2012) fitted to the...

This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic Institute on a monthly basis since 1976. In line...

This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the Swiss GDP. We find that the factor model...

In a pioneering attempt we present the R(ecession)-word index for Switzerland. We evaluate its predictive ability of GDP growth using real-time vintages of GDP data, closely simulating flow of information in the past. We find that inclusion of the R-word index led to statistically significant...

This study evaluates forecasting performance of a large-scale factor model developed in Siliverstovs and Kholodilin (2012) in a genuine ex ante forecasting exercise. We perform our forecast of GDP growth in Switzerland in real time using real-time data vintages collected at weekly frequency....

In this study we suggest a chronology of the classical business cycle in Switzerland. To this end we use two approaches: the approach of Artis et al. (2004) and an approach based on Markov-switching models (Hamilton, 1989). Our results show that similar conclusions can be reached by applying the...

This study presents a model that delivers more accurate forecasts of the revised rather initial estimates of the quarterly GDP growth rate in Switzerland during the period of the recent financial crisis. The key explanation to our findings is that our model, capitalizing on the information...

On the basis of keyword searches in newspaper articles several versions of the Recession-word Index (RWI) are constructed for Germany and Switzerland. We use these indices in order to track the business cycle dynamics in these two countries. Our main findings are the following. First, we show...