EconPapers    
Economics at your fingertips  
 

Monitoring the world business cycle

Maximo Camacho () and Jaime Martinez Martin
Authors registered in the RePEc Author Service: Jaime Martinez-Martin ()

No 1506, Working Papers from BBVA Bank, Economic Research Department

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 realtime 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: Economic Analysis; Global; Research; Working Paper (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2015-02
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Downloads: (external link)
https://www.bbvaresearch.com/wp-content/uploads/2015/02/WP-15-06-MSGAIN.pdf (application/pdf)

Related works:
Journal Article: Monitoring the world business cycle (2015) Downloads
Working Paper: Monitoring the world business cycle (2015) Downloads
Working Paper: Monitoring the world business cycle (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbv:wpaper:1506

Access Statistics for this paper

More papers in Working Papers from BBVA Bank, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by OSCAR DE LAS PENAS SANCHEZ-CARO ().

 
Page updated 2023-01-24
Handle: RePEc:bbv:wpaper:1506