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

39 Pages Posted: 4 Apr 2012

See all articles by Maximo Camacho

Maximo Camacho

Autonomous University of Barcelona - Department of Economics; Universidad de Murcia - Departamento de Metodos Cuantitativos

Gabriel Pérez-Quirós

Banco de España

Pilar Poncela

Universidad Autónoma de Madrid

Date Written: March 2012

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

Keywords: Business Cycles, Time Series, Turning Points

JEL Classification: C22, E27, E32

Suggested Citation

Camacho, Maximo and Pérez-Quirós, Gabriel and Poncela, Pilar, Green Shoots and Double Dips in the Euro Area: A Real Time Measure (March 2012). CEPR Discussion Paper No. DP8896, Available at SSRN: https://ssrn.com/abstract=2034114

Maximo Camacho (Contact Author)

Autonomous University of Barcelona - Department of Economics ( email )

Avda. Diagonal 690
Barcelona, 08034
Spain

Universidad de Murcia - Departamento de Metodos Cuantitativos ( email )

Campus de Espinardo
30100 Murcia
Spain
+34 968 367 982 (Phone)

Gabriel Pérez-Quirós

Banco de España

Alcala 50
Madrid 28014
Spain

Pilar Poncela

Universidad Autónoma de Madrid ( email )

Campus Cantoblanco
C/Kelsen, 1
Madrid, Madrid 28049
Spain

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