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  • 1
    Online Resource
    Online Resource
    Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model (2020)
    [Paris] : OECD
    Details
    Language: English
    Pages: 1 Online-Ressource (54 Seiten) , Illustrationen, Diagramme, Tabellen
    Series Statement: OECD statistics working papers 2020, 1
    Keywords: Economics ; Amtsdruckschrift ; Graue Literatur
    Abstract: The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility, and fluctuations in trend GDP growth. In this paper, we put forward an extension of the standard Markov-Switching Dynamic Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility environment prevailing since the mid-1980s. It is an important result for the detection of future recessions since, according to our model, the US economy is now back to a low-volatility environment after an interruption during the Great Recession. Second, our model also captures a continuous decline in the US trend GDP growth that started a few years before the Great Recession and continued thereafter. These two extensions of the standard MS-DFM framework are supported by information criteria, marginal likelihood comparisons and improved real-time GDP forecasting performance.
    DOI: 10.1787/9626dda3-en
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  • 2
    Online Resource
    Online Resource
    Detection of the Industrial Business Cycle using SETAR Models (2006)
    Paris : OECD Publishing
    In:  OECD journal: journal of business cycle measurement and analysis Vol. 2005, no. 3, p. 353-371
    Details
    ISSN: 1995-2899
    Language: English
    Pages: 19 p
    Titel der Quelle: OECD journal: journal of business cycle measurement and analysis
    Publ. der Quelle: Paris : OECD, 2008
    Angaben zur Quelle: Vol. 2005, no. 3, p. 353-371
    Keywords: Economics
    Abstract: In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given in real-time. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Especially, we review the classical techniques to estimate the number of regimes, the threshold, the delay and the parameters of the model. Then we apply these models to the Euro-zone industrial production index to detect in real-time, trough a dynamic simulation approach, the dates of peaks and throughs in the business cycle.
    DOI: 10.1787/jbcma-v2005-art9-en
    URL: Volltext
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  • 3
    Online Resource
    Online Resource
    Detecting Cyclical Turning Points : The ABCD Approach and Two Probabilistic Indicators (2004)
    Paris : OECD Publishing
    In:  OECD journal: journal of business cycle measurement and analysis Vol. 2004, no. 2, p. 193-225
    Details
    ISSN: 1995-2899
    Language: English
    Pages: 33 p
    Titel der Quelle: OECD journal: journal of business cycle measurement and analysis
    Publ. der Quelle: Paris : OECD, 2008
    Angaben zur Quelle: Vol. 2004, no. 2, p. 193-225
    Keywords: Economics
    Abstract: The intricate issue of detecting and forecasting macroeconomic cycles turning points has been once more perfectly illustrated with the global downturn experienced by most countries around the world in 2000-2001. Governments and Central Banks are very sensitive to economic indicators showing signs of deterioration in order to adjust their policies sufficiently in advance to avoid further deterioration or even a recession. These indicators require at least two qualities: they must be reliable and they must provide a readable signal as soon as possible. In this paper, we discuss ...
    DOI: 10.1787/jbcma-v2004-art12-en
    URL: Volltext
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  • 4
    Online Resource
    Online Resource
    Dynamic factor models: A review of the literature (2014)
    Paris : OECD Publishing
    In:  OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2013, no. 2, p. 73-107 | volume:2013 | year:2013 | number:2 | pages:73-107
    Details
    Language: English
    Pages: 1 Online-Ressource (35 p.) , 21 x 28cm.
    Titel der Quelle: OECD Journal: Journal of Business Cycle Measurement and Analysis
    Angaben zur Quelle: Vol. 2013, no. 2, p. 73-107
    Angaben zur Quelle: volume:2013
    Angaben zur Quelle: year:2013
    Angaben zur Quelle: number:2
    Angaben zur Quelle: pages:73-107
    Keywords: Economics
    Abstract: In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of these methods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at parameter estimation methods and statistical tests available for choosing the number of factors. We then focus on recent empirical applications dealing with the construction of economic outlook indicators, macroeconomic forecasts, and both macroeconomic and monetary policy analyses.
    DOI: 10.1787/jbcma-2013-5jz417f7b7nv
    URL: lizenzpflichtig
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