Modelling of Economic and Financial Conditions for Real‐Time Prediction of Recessions*
提出一种结合动态因子模型和马尔可夫区制转换的方法，利用混合频率的经济金融变量实时预测衰退，在土耳其数据中显示可提前3.6个月预警衰退。
Abstract In this paper, we propose a method for real‐time prediction of recessions using large sets of economic and financial variables with mixed frequencies. This method combines a dynamic factor model for the extraction of economic and financial conditions together with a tailored Markov regime switching specification for capturing their cyclical behaviour. Unlike conventional methods that estimate a single common cycle governing economic and financial conditions or extract economic and financial cycles in isolation of each other, the model allows for a common cycle which is reflected with potential phase shifts in the financial conditions estimated alongside with other parameters. This, in turn, provides timely recession predictions by enabling efficient modelling of the financial cycle systematically leading the business cycle. We examine the performance of the model using a mixed frequency ragged‐edge data set for Turkey in real time. The results show evidence for the superior predictive power of our specification by signalling oncoming recessions (expansions) as early as 3.6 (3.0) months ahead of the actual realization.