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Business Cycle Dating and Forecasting with Real-time Swiss GDP Data

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  • Christian Glocker

    (WIFO)

  • Philipp Wegmüller

Abstract

We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in short-term and medium-term forecasting. Using real-time GDP data since 2004, the model successfully anticipates the downturn of 2008-09 and responds in a timely manner to the recent sudden drop following the removal of the Swiss Franc lower bound. In a Markov-switching extension, we propose that our model could be used for Swiss recession dating. Our model does not indicate a regime-switch following the removal of the Swiss Franc lower bound.

Suggested Citation

  • Christian Glocker & Philipp Wegmüller, 2017. "Business Cycle Dating and Forecasting with Real-time Swiss GDP Data," WIFO Working Papers 542, WIFO.
    • Handle: RePEc:wfo:wpaper:y:2017:i:542
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    Cited by:

    1. Erhan Uluceviz & Kamil Yilmaz, 2020. "Real-financial connectedness in the Swiss economy," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-20, December.
    2. Magnus Kvåle Helliesen & Håvard Hungnes & Terje Skjerpen, 2022. "Revisions in the Norwegian National Accounts: accuracy, unbiasedness and efficiency in preliminary figures," Empirical Economics, Springer, vol. 62(3), pages 1079-1121, March.
    3. Christian Glocker & Serguei Kaniovski, 2022. "Macroeconometric forecasting using a cluster of dynamic factor models," Empirical Economics, Springer, vol. 63(1), pages 43-91, July.
    4. Brunhart, Andreas, 2019. "Der neue Konjunkturindex "KonSens": Ein gleichlaufender, vierteljährlicher Sammelindikator für Liechtenstein," EconStor Preprints 225261, ZBW - Leibniz Information Centre for Economics.
    5. Marcus Scheiblecker & Christian Glocker & Serguei Kaniovski & Atanas Pekanov, 2018. "Der Beitrag der Finanzmarktinterventionen des Bundes über die HETA Abwicklungsgesellschaft zur Stabilisierung des österreichischen Finanzmarktes," WIFO Studies, WIFO, number 60979.
    6. Glocker, Christian & Kaniovski, Serguei, 2020. "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper 101874, University Library of Munich, Germany.
    7. Klaus Friesenbichler & Christian Glocker & Werner Hölzl & Philipp Wegmüller, 2018. "Ein neues Modell für die kurzfristige Prognose der Herstellung von Waren und der Ausrüstungsinvestitionen," WIFO Monatsberichte (monthly reports), WIFO, vol. 91(9), pages 651-661, September.
    8. Wegmüller, Philipp & Glocker, Christian & Guggia, Valentino, 2023. "Weekly economic activity: Measurement and informational content," International Journal of Forecasting, Elsevier, vol. 39(1), pages 228-243.

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    More about this item

    Keywords

    Dynamic Factor Model; Markov-Switching KP_Berichte_Analysen; Nowcasting; Real-Time Data;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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