We extend the Markov-switching dynamic factor model to account for some of the speci…cities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as mixed-sampling frequency and ragged-edge data. First, we evaluate the theoretical gains of using promptly available data to compute probabilities of recession in real time. Second, we show how to estimate the model that deals with unbalanced panels of data and mixed frequencies and examine the bene…ts of this extension through several Monte Carlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle and compare it with the alternative method of forecasting the probabilities of recession from balanced panels.Keywords: Business Cycles, Output Growth, Time Series.
JEL Classi…cation: E32, C22, E27We a re in d e b te d to M a rc e lle C h a u ve t fo r k in d ly sh a rin g p a rt o f th e re a l-tim e d a ta v inta g e s u se d in th e e m p iric a l a p p lic a tio n . We th a n k th e e d ito r, th e a sso c ia te e d ito r a n d tw o a n o ny m o u s re v ie w e rs fo r th e ir c o m m e nts. P a rt o f th is p a p e r w a s w ritte n w h ile th e th ird a u th o r w a s v isitin g th e B a n k o f S p a in . F in a n c ia l su p p o rt fro m th e S p a n ish g ove rn m e nt, c o ntra c t g ra nts E C O 2 0 1 5 -7 0 3 3 1 -C 2 -1 -R a n d E C O 2 0 1 6 -7 6 1 7 8 -P (M IN E C O / F E D E R ), a n d 1 9 8 8 4 / G E R M / 1 5 (G ro u p s o f E x c e lle n c e , Fu n d a c ió n S é n e c a , a n d S c ie n c e a n d Te ch n o lo g y A g e n c y ), is g ra te fu lly a ck n ow le d g e d . A ny e rro rs a re o u r re sp o n sib ility. T h e v ie w s in th is p a p e r a re th o se o f th e a u th o rs a n d d o n o t re p re se nt th e v ie w s o f th e E u ro p e a n C o m m issio n , th e B a n k o f S p a in o r th e E u ro sy ste m . C o d e s a n d d a ta th a t re p lic a te th e re su lts c a n b e d ow n lo a d e d fro m th e a u th o rs' w e b site s.
This paper analyses the aggregate relationships between traffic accidents and real economic activity in Spain during the last 30 years. Our general approach is based on two basic assumptions: (1) the number of accidents depends on the use of cars and other exogenous variables, and (2) the level of economic activity affects variation in the stock of cars, as well as degree of utilization. We propose a novel turning point characterization for monthly seasonal data that allows to check whether economic and road accident cycles coincide and, to date the beginning and end of their respective cycles. Empirical results from this section are important in establishing posterior causal models and whether or not economic activity and road accidents have a common component in the long run and a varying lead-lag relationship, depending on the cycles. These models will be the basis to check when Spain will achieve the European Union figures in terms of the fatalities/accidents ratio under different scenarios. Empirical results as well as historical experiences from other European countries proved that reducing fatalities is not only a question of diminishing accidents rates.
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