Green Shoots and Double Dips in the Euro Area. A Real Time Measure

Pérez-Quirós, Gabriel, Pilar Poncela and Maximo Camacho
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 8896, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: To perform real-time business cycle inferences and forecasts of GDP growth rates in the Euro area, we use 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. 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 inferred from the model are an appropriate statistic to capture what the press call green shoots or to monitor the double-dip recession

Keywords: Business cycles; Time series; Turning points (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Date: 2012-03
New Economics Papers: this item is included in nep-eec and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Green shoots and double dips in the euro area: A real time measure (2014)
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