Anticipating business-cycle turning points in real time using density forecasts from a VAR
Schreiber, Sven ;  ;  Universität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft

Main titleAnticipating business-cycle turning points in real time using density forecasts from a VAR
AuthorSchreiber, Sven, svetosch@gmx.net
EditorUniversität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft
No. of Pages38 S.
Series ; 2014,2 : Economics
Keywordsdensity forecasts; business-cycle turning points; real-time data; nowcasting; great recession
Classification (DDC)330 Economics
339 Macroeconomics and related topics
AbstractFor the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability mass below (or above) a given threshold value. We show how this approach can be used in real time in the presence of data publication lags and how it can capture the part of the data revision process that is systematic. Then we apply the method to US and German monthly data. In an out-of-sample exercise (for 2007-2012/13) the turning points can be signalled before the official data publication confirms them (but not before they happened in reality).
If your browser can't open the file, please download the file first and then open it
FU DepartmentDepartment Business and Economics
Other affiliation(s)Volkswirtschaftslehre
Year of publication2014
Type of documentBook
Terms of use/Rights Nutzungsbedingungen
Created at2014-01-27 : 09:12:01
Last changed2016-01-05 : 02:38:33
Static URLhttp://edocs.fu-berlin.de/docs/receive/FUDOCS_document_000000019497