Green shoots and double dips in the euro area: A real time measure

Maximo Camacho, Gabriel Perez Quiros and Pilar Poncela

International Journal of Forecasting, 2014, vol. 30, issue 3, 520-535

Abstract: In order 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 features 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 relationships between data revisions, point forecasts and forecast uncertainty. Based on our empirical results, we think that the real-time probabilities of recession inferred from the model are an appropriate statistic for capturing what the press call green shoots, and for monitoring double-dip recessions.

Keywords: Business cycles; Output growth; Time series (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (22)

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Working Paper: Green Shoots and Double Dips in the Euro Area. A Real Time Measure (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:30:y:2014:i:3:p:520-535

DOI: 10.1016/j.ijforecast.2013.01.006

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