No. 500 - Turning-point indicators from business surveys: real-time detection for the euro area and its major member countries

by Alberto Baffigi and Antonio Bassanetti
June 2004
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We present tools for real-time detection of turning points in the industrial production growth-cycle of the euro area and its four largest economies. In particular, we apply a multivariate hidden Markov model to national survey results – i.e. to the earliest information about current economic developments − in order to estimate the probability of expansionary and recessionary phases. The balances of opinions used as inputs of the model are selected by ranking them according to their degree of commonality with respect to the cyclical fluctuations of the industrial sector, as estimated with the Generalized Dynamic Factor Model. The indicators appear reliable and stable.

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  1. 10 June 2004
    No. 500 - Turning-point indicators from business surveys: real-time detection for the euro area and its major member countries
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