{"id":50985,"date":"2023-12-01T17:32:09","date_gmt":"2023-12-01T16:32:09","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/business-cycle-dating-and-forecasting-with-real-time-swiss-gdp-data\/"},"modified":"2024-11-07T05:48:29","modified_gmt":"2024-11-07T04:48:29","slug":"business-cycle-dating-and-forecasting-with-real-time-swiss-gdp-data","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/50985\/","title":{"rendered":"Business Cycle Dating and Forecasting with Real-time Swiss GDP Data"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-50985","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"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.","onlinedate":"2017-10-02 02:00:00","lang":"English","publication_series":"","publication_date":"20171001","publication_date_year":"","publication_date_full":false,"publication_num_pages":"41","keywords":"[\"Dynamic Factor Model\",\"Markov-Switching KP_Berichte_Analysen\",\"Nowcasting\",\"Real-Time Data\"]","jelcodes":"[\"C32\",\"C53\",\"E37\"]","related_publications":"[]","pdf":369845,"zip":null,"link":"","monthly_report":true,"monthly_report_main":false,"monthly_report_volume":"","monthly_report_pages":"","monthly_report_pages_sort":"0","issue":"542","journal":"WIFO Working Papers","publisher":"","invisible":false,"external":false,"embargo_date":null,"types":[44410],"research_groups":[3500],"collaboration":"","persons":[3543,11925],"persons_data":"[{\"personId\":3543,\"personName\":\"Christian Glocker\",\"organisationNames\":[]},{\"personId\":11925,\"personName\":\"Philipp Wegm\u00fcller\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","citations":"{\"apa\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_apa rendering_contributiontoperiodical rendering_apa rendering_contributiontoperiodical_apa\\\"><span>Glocker, C.<\\\/span>, &amp; Wegm\u00fcller, P. (2017). <span>Business Cycle Dating and Forecasting with Real-time Swiss GDP Data<\\\/span>. <span><em>WIFO Working Papers<\\\/em><\\\/span>, (542). <a onclick=\\\"window.open(this.href, '_blank','noopener,noreferrer'); return false;\\\" href=\\\"https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/60645\\\" class=\\\"link\\\"><span>https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/60645<\\\/span><\\\/a><\\\/div>\",\"vancouver\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_vancouver rendering_contributiontoperiodical rendering_vancouver rendering_contributiontoperiodical_vancouver\\\"><span>Glocker C<\\\/span>, Wegm\u00fcller P. <span class=\\\"title\\\"><span>Business Cycle Dating and Forecasting with Real-time Swiss GDP Data<\\\/span><\\\/span>. <span>WIFO Working Papers<\\\/span>. 2017 Oct;(542).<\\\/div>\",\"bibtex\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_bibtex rendering_contributiontoperiodical rendering_bibtex rendering_contributiontoperiodical_bibtex\\\"><div>@misc{b38091fea22b4a63b15561ad534555aa,<\\\/div><div>  title    = \\\"Business Cycle Dating and Forecasting with Real-time Swiss GDP Data\\\",<\\\/div><div>  abstract = \\\"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.\\\",<\\\/div><div>  keywords = \\\"Dynamic Factor Model, Markov-Switching KP\\\\_Berichte\\\\_Analysen, Nowcasting, Real-Time Data, Dynamic Factor Model, Markov-Switching KP\\\\_Berichte\\\\_Analysen, Nowcasting, Real-Time Data\\\",<\\\/div><div>  author   = \\\"Christian Glocker and Philipp Wegm{\\\\\\\"u}ller\\\",<\\\/div><div>  note     = \\\"Business Cycle Dating and Forecasting with Real-time Swiss GDP Data\\\",<\\\/div><div>  year     = \\\"2017\\\",<\\\/div><div>  month    = oct,<\\\/div><div>  language = \\\"English\\\",<\\\/div><div>  journal  = \\\"WIFO Working Papers\\\",<\\\/div><p>}<\\\/p><\\\/div>\",\"ris\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_ris rendering_contributiontoperiodical rendering_ris rendering_contributiontoperiodical_ris\\\"><p>TY  - GEN<\\\/p><p>T1  - Business Cycle Dating and Forecasting with Real-time Swiss GDP Data<\\\/p><p>AU  - Glocker, Christian<\\\/p><p>AU  - Wegm\u00fcller, Philipp<\\\/p><p>N1  - Business Cycle Dating and Forecasting with Real-time Swiss GDP Data<\\\/p><p>PY  - 2017\\\/10<\\\/p><p>Y1  - 2017\\\/10<\\\/p><p>N2  - 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.<\\\/p><p>AB  - 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.<\\\/p><p>KW  - Dynamic Factor Model<\\\/p><p>KW  - Markov-Switching KP_Berichte_Analysen<\\\/p><p>KW  - Nowcasting<\\\/p><p>KW  - Real-Time Data<\\\/p><p>KW  - Dynamic Factor Model<\\\/p><p>KW  - Markov-Switching KP_Berichte_Analysen<\\\/p><p>KW  - Nowcasting<\\\/p><p>KW  - Real-Time Data<\\\/p><p>M3  - WIFO series<\\\/p><p>JO  - WIFO Working Papers<\\\/p><p>JF  - WIFO Working Papers<\\\/p><p>ER  - <\\\/p><\\\/div>\"}","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v28.0 (Yoast SEO v28.0) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>Business Cycle Dating and Forecasting with Real-time Swiss GDP Data - WIFO<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.wifo.ac.at\/en\/publication\/50985\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Business Cycle Dating and Forecasting with Real-time Swiss GDP Data\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.wifo.ac.at\/en\/publication\/50985\/\" \/>\n<meta property=\"og:site_name\" content=\"WIFO\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/WIFOat\/\" \/>\n<meta property=\"article:modified_time\" content=\"2024-11-07T04:48:29+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO-Gebaeude-FotoAlexanderMueller-www.alexandermueller.at-IMG_6326-Bearbeitet-1.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1920\" \/>\n\t<meta property=\"og:image:height\" content=\"1280\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@WIFOat\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/50985\\\/\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/50985\\\/\",\"name\":\"Business Cycle Dating and Forecasting with Real-time Swiss GDP Data - 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