Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/90875
Authors: 
Schreiber, Sven
Year of Publication: 
2014
Series/Report no.: 
Discussion Paper, School of Business & Economics: Economics 2014/2
Abstract: 
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability mass below (or above) a given threshold value. We show how this approach can be used in real time in the presence of data publication lags and how it can capture the part of the data revision process that is systematic. Then we apply the method to US and German monthly data. In an out-of-sample exercise (for 2007-2012/13) the turning points can be signalled before the official data publication confirms them (but not before they happened in reality).
Subjects: 
density forecasts
business-cycle turning points
real-time data
nowcasting
great recession
JEL: 
C53
E37
Document Type: 
Working Paper

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