In this paper we show an approach to assessing both the impact of business cycles on economic indicators and on the underlying macroeconomic variables and one of these variables in nowcasting GDP: this approach is based on the real-time ability of financial and real variables to reproduce business cycles. We observe that using both a large dataset and a smaller set of accurately targeted financial and real indicators in each phase of the cycle can deliver more accurate predictions, in particular concerning the identification of turning points. Since the recession of 2008-2009, we have found that a large part of the countries’ business cycles is due to real common shocks.

Monthly indicators and short-term forecasting

FRENDA, Antonio;SCIPPACERCOLA, SERGIO
2014

Abstract

In this paper we show an approach to assessing both the impact of business cycles on economic indicators and on the underlying macroeconomic variables and one of these variables in nowcasting GDP: this approach is based on the real-time ability of financial and real variables to reproduce business cycles. We observe that using both a large dataset and a smaller set of accurately targeted financial and real indicators in each phase of the cycle can deliver more accurate predictions, in particular concerning the identification of turning points. Since the recession of 2008-2009, we have found that a large part of the countries’ business cycles is due to real common shocks.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11588/622526
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