Monitoring the World Business Cycle

20 Pages Posted: 17 Aug 2015

See all articles by Maximo Camacho

Maximo Camacho

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

Jaime Martinez-Martin

Banco de España

Multiple version iconThere are 2 versions of this paper

Date Written: 2015-02-01

Abstract

We propose a Markov-switching dynamic factor model to construct an index of global business cycle conditions, to perform short-term forecasts of world GDP quarterly growth in real time and to compute real-time business cycle probabilities. To overcome the real-time forecasting challenges, the model accounts for mixed frequencies, for asynchronous data publication and for leading indicators. Our pseudo real-time results show that this approach provides reliable and timely inferences of the world quarterly growth and of the world state of the business cycle on a monthly basis.

JEL Classification: C22, E27, E32

Suggested Citation

Camacho, Maximo and Martinez-Martin, Jaime, Monitoring the World Business Cycle (2015-02-01). Globalization and Monetary Policy Institute Working Paper No. 228, Available at SSRN: https://ssrn.com/abstract=2643954 or http://dx.doi.org/10.24149/gwp228

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)

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