We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...

La littérature sur l'instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très large de mesures utilisées pour appréhender ce phénomène. Le choix de la mesure de l'instabilité macroéconomique apparait généralement peu discuté sous le...

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process....

This paper characterizes the business cycle as a recurring Markov chain for a broad set of developed and developing countries. The objective is to understand differences in cyclical phenomena across a broad range of countries based on the behavior of two key economic times series - industrial...

This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...

Das ifo Geschäftsklima für die gewerbliche Wirtschaft gilt seit vielen Jahren als der wichtigste Indikator für die Konjunkturentwicklung in Deutschland. Es ist als Mittelwert der beiden Komponenten Geschäftslage und Geschäftserwartungen für die nächsten sechs Monate definiert. Seit 1993...

This paper computes an aggregate 'misalignment' index using a multiple indicator approach to identify under or over-valuation of house prices in Malta based on fundamentals. A total of 5 indicators are used that capture demand, supply and banking system factors: the house price-to-RPI ratio, the...

This paper outlines the structure for a high frequency measure of economic activity in Malta, with the ability of identifying turning points and changes in activity in real time. An array of flow and stock data is applied, measured at mixed frequencies. A dynamic factor model then filters the...

Recent research provides controversial evidence on the stability of yield-curve based binary probit models for forecasting U.S. recessions. This paper reviews so far applied specifications and presents new procedures for examining the stability of selected probit models. It finds that a...

Various papers indicate that the yield-curve has superior predictive power for U.S. recessions. However, there is controversial evidence on the stability of the predictive relationship and it has remained unclear how the persistence of the underlying binary recession indicator should be taken...