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Macroeconomics, nonlinearities, and the business cycle

Reif, Magnus - 2019

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

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Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent … probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1 and a correct …

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In search of leading indicators of economic activity in Germany

Bandholz, Harm; Funke, Michael - 2001

In this paper we present two new composite leading indicators of economicactivity in Germany estimated using a dynamic … appropriatetool for forecasting business conditions. …

Persistent link: https://www.econbiz.de/10011400394

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2017

Persistent link: https://www.econbiz.de/10011646914

Detecting and predicting economic accelerations, recessions, and normal growth periods in real-time

Proano, Christian - 2013

periods, and economic recessions. Second, it uses an ordered probit framework for estimating and forecasting these three … auf makroökonomische als auch auf Finanzmarktvariablen für Deutschland. Die empirischen Ergebnisse unterstreichen nicht …

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A bivariate autoregressive probit model : predicting US business cycle and growth rate cycle recessions

Nyberg, Henri - 2009

Persistent link: https://www.econbiz.de/10003884515

Forecasting Macedonian business cycle turning points using Qual VAR model

Petrovska, Magdalena; Krstevska, Aneta; Naumovski, Nikola - Narodna Banka na Republika Makedonija - 2016

indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker …

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The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

autoregressive (MF-MSVAR) model, and compare its in-sample and out-of-sample forecasting performances to those of a Markov … forecasting recessionary regimes for the U.S. economy. …

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Forecasting euro area recessions in real-time

Pirschel, Inske - 2016

I present evidence that the linear mixed-frequency Bayesian VAR provides very sharp and well calibrated monthly real-time recession probabilities for the euro area for the period from 2004 until 2013. The model outperforms not only the univariate regime-switching models for a number of hard and...

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Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set

Stekler, H.O. - 2016

This paper considers the issue of predicting cyclical turning points using real-time diffusion indexes constructed using a large data set from March 2005 to September 2014. We construct diffusion indexes at the monthly frequency, compare several smoothing and signal extraction methods, and...

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