Real-time turning point indicators: Review of current international practices
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Menzie Chinn & Kavan Kucko, 2015.
"The Predictive Power of the Yield Curve Across Countries and Time,"
International Finance, Wiley Blackwell, vol. 18(2), pages 129-156, June.
- Menzie D. Chinn & Kavan J. Kucko, 2010. "The Predictive Power of the Yield Curve across Countries and Time," NBER Working Papers 16398, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2011.
"Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production,"
Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 1-38.
- Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production," NBER Working Papers 14389, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. aggregate shocks : a structural factor analysis of industrial production," Working Paper 08-07, Federal Reserve Bank of Richmond.
- Pierre-Daniel Sarte & Mark Watson & Andrew Foerster, 2008. "Aggregate Shocks and the Variability of Industrial Production," 2008 Meeting Papers 224, Society for Economic Dynamics.
- Bräuning, Falk & Koopman, Siem Jan, 2014.
"Forecasting macroeconomic variables using collapsed dynamic factor analysis,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 572-584.
- Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
- Geoffrey H. Moore, 1961. "Business Cycle Indicators, Volume 2, Basic Data on Cyclical Indicators," NBER Books, National Bureau of Economic Research, Inc, number moor61-2, June.
- Hélène Baron & Guillaume Baron, 2002. "Un indicateur probabiliste de retournement conjoncturel dans la zone euro," Économie et Statistique, Programme National Persée, vol. 359(1), pages 101-121.
- Serena Ng, 2014.
"Viewpoint: Boosting Recessions,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(1), pages 1-34, February.
- Serena Ng, 2014. "Viewpoint: Boosting Recessions," Canadian Journal of Economics, Canadian Economics Association, vol. 47(1), pages 1-34, February.
- Carstensen Kai & Wohlrabe Klaus & Ziegler Christina, 2011.
"Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 82-106, February.
- Kai Carstensen & Klaus Wohlrabe & Christina Ziegler, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," CESifo Working Paper Series 3158, CESifo.
- Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2011. "Predictive ability of business cycle indicators under test: A case study for the Euro area industrial production," Munich Reprints in Economics 19953, University of Munich, Department of Economics.
- Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Discussion Papers in Economics 11442, University of Munich, Department of Economics.
- E. Andreou & P. Gagliardini & E. Ghysels & M. Rubin, 2019. "Inference in Group Factor Models With an Application to Mixed‐Frequency Data," Econometrica, Econometric Society, vol. 87(4), pages 1267-1305, July.
- Periklis Gogas & Theophilos Papadimitriou & Maria Matthaiou & Efthymia Chrysanthidou, 2015.
"Yield Curve and Recession Forecasting in a Machine Learning Framework,"
Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 635-645, April.
- Gogas, Periklis & Papadimitriou , Theophilos & Matthaiou, Maria- Artemis & Chrysanthidou, Efthymia, 2014. "Yield Curve and Recession Forecasting in a Machine Learning Framework," DUTH Research Papers in Economics 8-2014, Democritus University of Thrace, Department of Economics.
- Theophilos Papadimitriou & Periklis Gogas & Maria Matthaiou & Efthymia Chrysanthidou, 2014. "Yield curve and Recession Forecasting in a Machine Learning Framework," Working Paper series 32_14, Rimini Centre for Economic Analysis.
- Geoffrey H. Moore, 1961. "Introduction to "Business Cycle Indicators, Volume 1"," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages -13--1, National Bureau of Economic Research, Inc.
- Rendigs Fels & C. Elton Hinshaw, 1968. "Forecasting and Recognizing Business Cycle Turning Points," NBER Books, National Bureau of Economic Research, Inc, number fels68-1, June.
- Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
- Artis, Michael J, et al, 1995.
"Turning Point Prediction for the UK Using CSO Leading Indicators,"
Oxford Economic Papers, Oxford University Press, vol. 47(3), pages 397-417, July.
- Artis, Michael J, 1993. "Turning Point Prediction for the UK using CSO Leading Indicators," CEPR Discussion Papers 833, C.E.P.R. Discussion Papers.
- Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1, National Bureau of Economic Research, Inc.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Geoffrey H. Moore, 1961. "Business Cycle Indicators, Volume 1," NBER Books, National Bureau of Economic Research, Inc, number moor61-1, June.
- Rickard Nyman & Paul Ormerod, 2017. "Predicting Economic Recessions Using Machine Learning Algorithms," Papers 1701.01428, arXiv.org.
- Salazar, Eduardo & Smith, Richard & Weale, Martin & Wright, Stephen, 1997.
"A Monthly Indicator of GDP,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 161, pages 84-89, July.
- Eduardo Salazar & Richard Smith & Martin Weale & Stephen Wright, 1997. "A Monthly Indicator of GDP," National Institute Economic Review, National Institute of Economic and Social Research, vol. 161(1), pages 84-89, July.
- Geoffrey H. Moore, 1961. "Appendices to "Business Cycle Indicators, Volume 1"," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages 669-767, National Bureau of Economic Research, Inc.
- Geoffrey H. Moore, 1961. "Introductory pages to "Business Cycle Indicators, Volume 1"," NBER Chapters, in: Business Cycle Indicators, Volume 1, pages -35--15, National Bureau of Economic Research, Inc.
- Kasey Buckles & Daniel Hungerman & Steven Lugauer, 2021.
"Is Fertility a Leading Economic Indicator?,"
The Economic Journal, Royal Economic Society, vol. 131(634), pages 541-565.
- Kasey Buckles & Daniel Hungerman & Steven Lugauer, 2018. "Is Fertility a Leading Economic Indicator?," NBER Working Papers 24355, National Bureau of Economic Research, Inc.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991.
"The Term Structure as a Predictor of Real Economic Activity,"
Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017.
"The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey,"
Economic Modelling, Elsevier, vol. 64(C), pages 26-39.
- Mogliani, M. & Brunhes-Lesage, V. & Darné, O. & Pluyaud, B., 2014. "New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the “blocking” approach," Working papers 473, Banque de France.
- Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
- Martin Weale, 1996. "An Assessment of OECD and UK Leading Indicators," National Institute Economic Review, National Institute of Economic and Social Research, vol. 156(1), pages 63-71, May.
- Levanon, Gad & Manini, Jean-Claude & Ozyildirim, Ataman & Schaitkin, Brian & Tanchua, Jennelyn, 2015. "Using financial indicators to predict turning points in the business cycle: The case of the leading economic index for the United States," International Journal of Forecasting, Elsevier, vol. 31(2), pages 426-445.
- Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
- Stéphane Grégoir & Fabrice Lenglart, 1998. "Measuring the Probability of a Business Cycle Turning Point by Using a Multivariate Qualitative Hidden Markov Model," Working Papers 98-48, Center for Research in Economics and Statistics.
- Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, June.
- James H. Stock & Mark W. Watson, 1989.
"New Indexes of Coincident and Leading Economic Indicators,"
NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409,
National Bureau of Economic Research, Inc.
- Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
- Hamilton, James D., 2011.
"Calling recessions in real time,"
International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October.
- James D. Hamilton, 2010. "Calling Recessions in Real Time," NBER Working Papers 16162, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Enrique A. López-Enciso, 2017. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Borradores de Economia 986, Banco de la Republica de Colombia.
- Yao, Vincent W. & Sloboda, Brian W., 2005. "Forecasting Cycles in the Transportation Sector," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 44(2).
- Yao, Vincent W. & Solboda, Brian, 2005. "Forecasting Cycles in the Transportation Sector," 46th Annual Transportation Research Forum, Washington, D.C., March 6-8, 2005 208159, Transportation Research Forum.
- Theobald, Thomas, 2013. "Markov Switching with Endogenous Number of Regimes and Leading Indicators in a Real-Time Business Cycle Forecast," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79911, Verein für Socialpolitik / German Economic Association.
- Andrew Filardo & Marco Jacopo Lombardi & Marek Raczko, 2018.
"Measuring financial cycle time,"
BIS Working Papers
755, Bank for International Settlements.
- Filardo, Andrew & Lombardi, Marco & Raczko, Marek, 2019. "Measuring financial cycle time," Bank of England working papers 776, Bank of England.
- Sun, Jiandong & Feng, Shuaizhang & Hu, Yingyao, 2021. "Misclassification errors in labor force statuses and the early identification of economic recessions," Journal of Asian Economics, Elsevier, vol. 75(C).
- Nissilä, Wilma, 2020. "Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland," BoF Economics Review 7/2020, Bank of Finland.
- Ilse Mintz, 1974. "Dating United States Growth Cycles," NBER Chapters, in: Explorations in Economic Research, Volume 1, Number 1, pages 1-113, National Bureau of Economic Research, Inc.
- Michael W. McCracken & Serena Ng, 2016.
"FRED-MD: A Monthly Database for Macroeconomic Research,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 574-589, October.
- Michael W. McCracken & Serena Ng, 2015. "FRED-MD: A Monthly Database for Macroeconomic Research," Working Papers 2015-12, Federal Reserve Bank of St. Louis.
- repec:ilo:ilowps:278801 is not listed on IDEAS
- Thomas Theobald, 2012. "Real-time Markov Switching and Leading Indicators in Times of the Financial Crisis," IMK Working Paper 98-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Xun Zhang & Guihuan Zheng & Wei Shang & Shangying Xu & Xiaoguang Yang & Kin Keung Lai & Shou-Yang Wang, 2009. "An Integrated Decision Support Framework For Macroeconomic Policy Making Based On Early Warning Theories," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 335-359.
- Marcel, Mario., 1990. "Leading indicators for employment forecasting in developing countries," ILO Working Papers 992788013402676, International Labour Organization.
- Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
- Geoffrey H. Moore & Victor Zarnowitz, 1986. "Appendix A: The Development and Role of the National Bureau of Economic Research's Business Cycle Chronologies," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 735-780, National Bureau of Economic Research, Inc.
- Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016.
"Identification and real-time forecasting of Norwegian business cycles,"
International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
- Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2015. "Identification and real-time forecasting of Norwegian business cycles," Working Paper 2015/09, Norges Bank.
- Aastveit, Knut Are & Anundsen, André K. & Herstad, Eyo I., 2019.
"Residential investment and recession predictability,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1790-1799.
- Knut Are Aastveit & André K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Paper 2017/24, Norges Bank.
- Knut Are Aastveit & Andr K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Papers No 8/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Soh, Ann-Ni, 2020. "A Review on the Leading Indicator Approach towards Economic Forecasting," MPRA Paper 103854, University Library of Munich, Germany.
- Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022.
"Does the yield curve signal recessions? New evidence from an international panel data analysis,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
- Jean-Baptiste Hasse & Quentin Lajaunie, 2020. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis," AMSE Working Papers 2013, Aix-Marseille School of Economics, France.
- Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," LIDAM Reprints LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
- Jean-Baptiste Hasse & Quentin Lajaunie, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," Post-Print hal-03740235, HAL.
- Fabio Moneta, 2005. "Does the Yield Spread Predict Recessions in the Euro Area?," International Finance, Wiley Blackwell, vol. 8(2), pages 263-301, August.
- Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014.
"The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market,"
International Review of Economics & Finance, Elsevier, vol. 31(C), pages 21-33.
- Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Javier Sosvilla Rivero, 2013. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," Documentos de Trabajo del ICAE 2013-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
More about this item
Keywords
business cycles; turning points; recession; leading indicator; composite indicator; diffusion index; bridge model; Markow-switching model;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-07-27 (Big Data)
- NEP-CMP-2020-07-27 (Computational Economics)
- NEP-MAC-2020-07-27 (Macroeconomics)
- NEP-ORE-2020-07-27 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nsr:escoed:escoe-dp-2020-05. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ESCoE Centre Manager (email available below). General contact details of provider: https://edirc.repec.org/data/escoeuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.