Monitoring the world business cycle

Maximo Camacho and Jaime Martinez Martin
Authors registered in the RePEc Author Service: Jaime Martinez-Martin

No 1506, Working Papers from BBVA Bank, Economic Research Department

Abstract: We propose a Markov-switching dynamic factor model to construct an index of global business cycle conditions, to perform short-term forecasts of world GDP quarterly growth in real time and to compute realtime business cycle probabilities. To overcome the real-time forecasting challenges, the model accounts for mixed frequencies, for asynchronous data publication and for leading indicators. Our pseudo real time results show that this approach provides reliable and timely inferences of the world quarterly growth and of the world state of the business cycle on a monthly basis.

Keywords: Economic Analysis; Global; Research; Working Paper (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2015-02
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Monitoring the world business cycle (2015)
Working Paper: Monitoring the world business cycle (2015)
Working Paper: Monitoring the world business cycle (2015)
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