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Green shoots in the euro area. A real time measure

Maximo Camacho, Gabriel Perez-Quiros () and Pilar Poncela
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Gabriel Perez-Quiros: Banco de España

Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 1026, Working Papers from Banco de España

Abstract: We show that an extension of the Markov-switching dynamic factor models that accounts for the specificities of the day to day monitoring of economic developments such as ragged edges, mixed frequencies and data revisions is a good tool to forecast the Euro area recessions in real time. We provide examples that show the nonlinear nature of the relations between data revisions, point forecasts and forecast uncertainty. According to our empirical results, we think that the real time probabilities of recession are an appropriate statistic to capture what the press call green shoots.

Keywords: Business Cycles; Output Growth; Time Series (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2010-07
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1026

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