Arbeitspapier
Business cycle dating and forecasting with real-time Swiss GDP data
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.
- Language
-
Englisch
- Bibliographic citation
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Series: WIFO Working Papers ; No. 542
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
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Dynamic Factor Model
Nowcasting
Real-Time Data
Markov-Switching
- Event
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Geistige Schöpfung
- (who)
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Glocker, Christian
Wegmüller, Philipp
- Event
-
Veröffentlichung
- (who)
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Austrian Institute of Economic Research (WIFO)
- (where)
-
Vienna
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Glocker, Christian
- Wegmüller, Philipp
- Austrian Institute of Economic Research (WIFO)
Time of origin
- 2017
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