Monitoring the world business cycle

Maximo Camacho and Jaime Martinez-Martin

No 228, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

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 real-time 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.

JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2015-02-01
New Economics Papers: this item is included in nep-fdg and nep-mac
Note: Published as: Camacho, Maximo and Jaime Martinez-Martin (2015), "Monitoring the World Business Cycle," Economic Modeling 51: 617-625.
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Citations: View citations in EconPapers (8)

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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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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:228

DOI: 10.24149/gwp228

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