Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168206
Authors: 
Heinrich, Markus
Carstensen, Kai
Reif, Magnus
Wolters, Maik
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Forecasting E17-V3
Abstract: 
We use a Markow-switching dynamic factor model with three states for Germany with indicators selected by the Elastic Net. The states represent expansions, normal - and severe recessions. Adding a third state helps to identify all business cycle turning points in-sample and in real-time. Combining the factor and the recession probabilities with a GDP forecasting model yields accurate nowcasts and a correct prediction of the timing of the Great Recession and its recovery one quarter in advance.
JEL: 
C53
E32
E37
Document Type: 
Conference Paper

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