Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/179296 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
WIFO Working Papers No. 542
Verlag: 
Austrian Institute of Economic Research (WIFO), Vienna
Zusammenfassung: 
We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in short-term and medium-term forecasting. Using real-time GDP data since 2004, the model successfully anticipates the downturn of 2008-09 and responds in a timely manner to the recent sudden drop following the removal of the Swiss Franc lower bound. In a Markov-switching extension, we propose that our model could be used for Swiss recession dating. Our model does not indicate a regime-switch following the removal of the Swiss Franc lower bound.
Schlagwörter: 
Dynamic Factor Model
Nowcasting
Real-Time Data
Markov-Switching
JEL: 
C32
C53
E37
Dokumentart: 
Working Paper

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