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Monitoring the world business cycle

Maximo Camacho () and Jaime Martinez-Martin ()

Economic Modelling, 2015, vol. 51, issue C, 617-625

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.

Keywords: Real-time forecasting; World economic indicators; Business cycles; Non-linear dynamic factor models (search for similar items in EconPapers)
Date: 2015
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Working Paper: Monitoring the world business cycle (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:51:y:2015:i:c:p:617-625

DOI: 10.1016/j.econmod.2015.09.013

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