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Expected Income Growth and the Great Recession

French, Eric - 2014

Consumers' expected income growth declined significantly during the Great Recession. It was the most severe drop ever observed in these data, and expectations have not yet fully recovered. Furthermore, this article shows that expected income growth is a strong predictor of actual future income...

Persistent link: https://www.econbiz.de/10013060018

Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility, and fluctuations in trend GDP growth. In this paper, we...

Persistent link: https://www.econbiz.de/10012227436

Business tendency surveys and macroeconomic fluctuations

Kaufmann, Daniel; Scheufele, Rolf - 2015

We investigate the information content of business tendency surveys for key macroeconomic variables in Switzerland. To summarise the information of a large data set of sectoral business tendency surveys we extract a small number of common factors by a principal components estimator. The...

Persistent link: https://www.econbiz.de/10010508347

Business cycle dating and forecasting with real-time Swiss GDP data

Glocker, Christian; Wegmüller, Philipp - 2017

We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in...

Persistent link: https://www.econbiz.de/10011732586

Macroeconomics, nonlinearities, and the business cycle

Reif, Magnus - 2019

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

Persistent link: https://www.econbiz.de/10012154125

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2019

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...

Persistent link: https://www.econbiz.de/10012098161

Was kostet die Krise? : Mittelfristige Wachstumsperspektiven in Deutschland, 2010-2014

Buchen, Teresa; Carstensen, Kai; Henzel, Steffen; … - 2010

2009 ist eine Diskussion darüber entbrannt, inwieweit die derzeitige Finanzkrise Einfluss auf die mittelfristigen … Zeitreihenmodellen abgeschätzt. Die Ergebnisse deuten darauf hin, dass das Niveau des Produktionspotenzials aufgrund der Finanzkrise … durch eine Stagnation des technischen Fortschritts verursacht wird. Die Auswirkungen der Finanzkrise auf die mittelfristige …

Persistent link: https://www.econbiz.de/10003952103

Macroeconomic forecasting during the Great Recession : the return of non-linearity?

Ferrara, Laurent; Marcellino, Massimiliano; Mogliani, Matteo - In: International journal of forecasting 31 (2015) 3, pp. 664-679

Persistent link: https://www.econbiz.de/10011474466

Macroeconomic Forecasting During the Great Recession : The Return of Non-Linearity?

Ferrara, Laurent - 2014

The debate on the forecasting ability in economics of non-linear models has a long history, and the Great Recession provides us with an opportunity for a re-assessment of the forecasting performance of several classes of non-linear models, widely used in applied macroeconomic research. In this...

Persistent link: https://www.econbiz.de/10013066037

Forecasting the Brent oil price : addressing time-variation in forecast performance

Manescu, Cristiana; Van Robays, Ine - 2016

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative to oil futures and the random walk over the period 1995Q1 - 2015Q2, including periods of stable, upwardly trending and rapidly dropping oil prices. None of the individual...

Persistent link: https://www.econbiz.de/10011573261