Business Cycle Dating and Forecasting with Real-Time Swiss GDP Data

WIFO Working Papers No. 542, 2019

39 Pages Posted: 27 Feb 2019 Last revised: 8 May 2019

See all articles by Christian Glocker

Christian Glocker

Austrian Institute of Economic Research (WIFO)

Philipp Wegmueller

State Secretariat for Economic Affairs (SECO)

Date Written: January 18, 2019

Abstract

We develop a small-scale dynamic factor model for the Swiss economy allowing for non-linearities by means of a two-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model’s forecasting performance is as good as that of peers with richer dynamics. It proves particularly useful for a timely assessment of the business cycle stance, as the recessionary regime probabilities tend to have a leading property. The model successfully anticipated the downturn of the 2008-09 recession and promptly indicated a fall in GDP growth following the discontinuation of the exchange rate floor of the Swiss Franc.

Keywords: Dynamic Factor Model, Nowcasting, Real-Time Data, Markov-Switching, Business Cycle Dating

JEL Classification: C32, C53, E37

Suggested Citation

Glocker, Christian and Wegmueller, Philipp, Business Cycle Dating and Forecasting with Real-Time Swiss GDP Data (January 18, 2019). WIFO Working Papers No. 542, 2019 , Available at SSRN: https://ssrn.com/abstract=3336669 or http://dx.doi.org/10.2139/ssrn.3336669

Christian Glocker (Contact Author)

Austrian Institute of Economic Research (WIFO) ( email )

Arsenal, Objekt 20
Vienna, 1030
Austria

Philipp Wegmueller

State Secretariat for Economic Affairs (SECO) ( email )

Holzikofenweg 36
Berne, 3003
Switzerland

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
224
Abstract Views
440
rank
170,165
PlumX Metrics