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 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...

This study investigates the usefulness of the business tendency surveys collected at the KOF institute for short-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to simulate the actual predictive process using only...