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Mixed-frequency VAR models with Markov-switching dynamics
In: Economics letters, Band 121, Heft 3, S. 369-373
ISSN: 0165-1765
Markov-switching stochastic trends and economic fluctuations
In: Journal of economic dynamics & control, Band 29, Heft 1-2, S. 135-158
ISSN: 0165-1889
Factor models for large and incomplete data sets with unknown group structure
In: International journal of forecasting, Band 39, Heft 3, S. 1205-1220
ISSN: 0169-2070
The Propagation of Industrial Business Cycles
In: Banco de Espana Working Paper No. 1728
SSRN
Commodity Prices and the Business Cycle in Latin America: Living and Dying by Commodities?
In: Emerging markets, finance and trade: EMFT, Band 50, Heft 2, S. 110-137
ISSN: 1558-0938
The Propagation of Industrial Business Cycles
SSRN
Working paper
Commodity Prices and the Business Cycle in Latin America: Living and Dying by Commodities?
In: Banco de Espana Working Paper No. 1304
SSRN
Commodity Prices and the Business Cycle in Latin America: Living and Dying by Commodities?
In: CEPR Discussion Paper No. DP9367
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Working paper
SPAIN‐STING: SPAIN SHORT‐TERM INDICATOR OF GROWTH*
In: The Manchester School, Band 79, Heft s1, S. 594-616
ISSN: 1467-9957
We develop a dynamic factor model to compute short‐term forecasts of the Spanish GDP growth in real time. With this model, we compute a business cycle index which operates as an indicator of the business cycle conditions in Spain. To examine its real‐time forecasting accuracy, we use real‐time data vintages from 2008.02 through 2009.01. We conclude that the model exhibits good forecasting performance anticipating the recent and sudden downturn.
An inquiry into the drivers of an entrepreneurial economy: A Bayesian clustering approach
In: Journal of evolutionary economics
ISSN: 1432-1386
AbstractUnderstanding the worldwide drivers of qualified entrepreneurship is a key issue in economic policy design. To help policy decisions exert their intended impact, we aim to cluster a wide range of countries on the basis of their levels and trends in self-employment productivity using a finite mixture model applied to a new large dataset of 121 countries covering the period of 1991–2019. Our results point to three groups of high-, medium-, and low-productive means and tendencies, the geographical distribution of which suggests that they can be reinterpreted using the three stages of economic development, namely, innovation-, efficiency-, and factor-driven economies. Notably, we find that widespread digitalization and low unemployment enhance the probability of transitioning into a highly productive cluster. However, we failed to find that industry weight or employment protection legislation strictness serve as determinants in the transition between groups. Suggestive rationales for these results and implications for the entrepreneurship policy agenda are also provided.
Spillover Effects in International Business Cycles
In: Banco de Espana Working Paper No. 2034
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Working paper
Spillover Effects in International Business Cycles
In: ECB Working Paper No. 20202484
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Working paper
Markov-switching dynamic factor models in real time
In: International journal of forecasting, Band 34, Heft 4, S. 598-611
ISSN: 0169-2070
Aggregate versus disaggregate information in dynamic factor models
In: International journal of forecasting, Band 32, Heft 3, S. 680-694
ISSN: 0169-2070