Title: Markov-switching dynamic factor models in real time
Authors: Gabriel Perez Quiros - Bank of Spain (Spain) [presenting]
Maximo Camacho - Universidad de Murcia (Spain)
Pilar Poncela - JRC (Italy)
Abstract: The Markov-switching dynamic factor model is extended to account for some of the specificities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefits of this extension and corroborate the results through several Monte Carlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle.