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

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

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

Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - 2020

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

Do large recessions reduce output permanently? : conference paper

Hosseinkouchack, Mehdi; Wolters, Maik H. - 2013

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

Do large recessions reduce output permanently?

Hosseinkouchack, Mehdi; Wolters, Maik H. - 2012

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

Do large recessions reduce output permanently?

Hosseinkouchack, Mehdi; Wolters, Maik H. - 2012

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

Macroeconomics, nonlinearities, and the business cycle

Reif, Magnus - 2019

Persistent link: https://www.econbiz.de/10012134188

Do large recessions reduce output permanently?

Hosseinkouchack, Mehdi; Wolters, Maik H. - In: Economics letters 121 (2013) 3, pp. 515-519

Persistent link: https://www.econbiz.de/10010393037

Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 152-168

Persistent link: https://www.econbiz.de/10012804095

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - In: International journal of forecasting 36 (2020) 3, pp. 829-850

Persistent link: https://www.econbiz.de/10012496873

Growth prospects, the natural interest rate, and monetary policy

Fiedler, Salomon; Gern, Klaus-Jürgen; Jannsen, Nils; … - 2019

The recovery from the Global Financial Crisis was characterized by sluggish output growth and by inflation remaining persistently below the inflation targets of central banks in many advanced economies despite an unprecedented monetary expansion. Ten years after the Global Financial Crisis, GDP...

Persistent link: https://www.econbiz.de/10011976123