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Green shoots in the euro area. A real time measure

  • Maximo Camacho


    (Universidad de Murcia)

  • Gabriel Perez-Quiros


    (Banco de España)

  • Pilar Poncela


    (Universidad autónoma de Madrid)

We show that 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 is a good tool to forecast the Euro area recessions in real time. 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 are an appropriate statistic to capture what the press call green shoots.

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File Function: First version, July 2010
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Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1026.

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Length: 40 pages
Date of creation: Jul 2010
Date of revision:
Handle: RePEc:bde:wpaper:1026
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