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Green Shoots and Double Dips in the Euro Area. A Real Time Measure

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  • Camacho, Maximo
  • Pérez-Quirós, Gabriel
  • Poncela, Pilar

Abstract

To perform real-time business cycle inferences and forecasts of GDP growth rates in the Euro area, we use an extension of the Markov-switching dynamic factor models that accounts for the specificities of the day to day monitoring of economic developments such as ragged edges, mixed frequencies and data revisions. We provide examples that show the nonlinear nature of the relations between data revisions, point forecasts and forecast uncertainty. According to our empirical results, we think that the real-time probabilities of recession inferred from the model are an appropriate statistic to capture what the press call green shoots or to monitor the double-dip recession

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8896.

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Date of creation: Mar 2012
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Handle: RePEc:cpr:ceprdp:8896

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Keywords: Business Cycles; Time Series; Turning Points;

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