Turning-point indicators from business surveys: real-time detection for the euro area and its major member countries

Alberto Baffigi () and Antonio Bassanetti ()
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Antonio Bassanetti: Banca d'Italia

No 500, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We present tools for real-time detection of turning points in the industrial production growth-cycle of the euro area and its four largest economies. In particular, we apply a multivariate hidden Markov model to national survey results � i.e. to the earliest information about current economic developments - in order to estimate the probability of expansionary and recessionary phases. The balances of opinions used as inputs of the model are selected by ranking them according to their degree of commonality with respect to the cyclical fluctuations of the industrial sector, as estimated with the Generalized Dynamic Factor Model. The indicators appear reliable and stable.

Keywords: business cycle; hidden Markov model; business surveys (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Date: 2004-06
New Economics Papers: this item is included in nep-bec, nep-eec and nep-mac
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_500_04

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