S elekdag p jeasakul r lafarguette a alter a feng and

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Prasad, A., S. Elekdag, P. Jeasakul, R. Lafarguette, A. Alter, A. Feng., and C. Wang (2019). Growth at risk: Concept and application in imf country surveillance. IMF Working Papers (19-36). 4.2 Runstler, G., K. Barhoumi, S. Benk, R. Cristadoro, A. Den Reijer, A. Jakaitiene, P. Jelonek, A. Rua, K. Ruth, and C. Van Nieuwenhuyze (2009). Short-term forecasting of gdp using large datasets: a pseudo real-time forecast evaluation exercise. Journal of Forecasting 28 (7), 595–611. 3.3 Stock, J. and M. Watson (1991). A probability model of the coincident economic indicators. Leading Economic Indicators: New Approaches and Forecasting Records . 3.1 Yiu, M. and K. Chow (2010). Nowcasting chinese gdp: information content of economic and financial data. China Economic Journal 3 (3), 223–240. 3.5 ECB Working Paper Series No 2381 / March 2020 26
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Figure 1: United States (a) Probability of low economic activity regime: Constant mean model 1950 1960 1970 1980 1990 2000 2010 2020 -3 -2 -1 0 1 2 3 4 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 (b) Probability of low economic activity regime: Time-varying mean model 1950 1960 1970 1980 1990 2000 2010 2020 -3 -2 -1 0 1 2 3 4 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Note: The blue solid line (right axis) plots the monthly probability of low real activity regime, Pr ( s t = 1), for the corresponding model, and the grey bars (left axis) represent the real GDP quarterly growth. ECB Working Paper Series No 2381 / March 2020 27
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Figure 2: United States: Real-Time Performance 1990 1995 2000 2005 2010 2015 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Note: The figure plots the probabilities of low real activity computed with recursive out-of-sample exercises and with real-time data, that is, by employing the exact amount and type of information available at the time of the estimation. The blue line plots the probability computed with the constant mean factor model, while the red line plots the probability computed with the time-varying mean model. The dashed area correspond to recession periods, as dated by the NBER. ECB Working Paper Series No 2381 / March 2020 28
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Figure 3: Weakness Across Countries (a) Middle of the Last Global Recession (b) Beginning of the Last Global Expansion (c) End of Sample Note: The heatmap of the world plots the overall pattern of the probabilities of low economic activity regime Pr ( s t = 1) for specific periods. The darker (lighter) the area, the higher (lower) the probability of low eco- nomic activity. The animated sequence of world heatmaps, from 2003:04 until 2020:02, can be found at: weakness . ECB Working Paper Series No 2381 / March 2020 29
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Figure 4: Global Weakness Index (a) Full-Sample Estimates 2004 2006 2008 2010 2012 2014 2016 2018 2020 0 1 2 3 4 5 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 (b) Real-Time Estimates 2004 2006 2008 2010 2012 2014 2016 2018 2020 0 1 2 3 4 5 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Note: The figure shows the Global Weakness Index, which is constructed as a weighted average of the probabilities of low economic activity regime across countries. The weights are given by the size of the corresponding economies. The red area represents the credible set based on the percentiles 16th and 84th of the posterior distribution. The dashed blue line plots the world real GDP growth based on the estimates provided by the IMF, for comparison purposes. Chart A plots the estimates based on the entire available sample for each world regions. Chart B plots
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  • Fall '19
  • Economics, Recession, Late-2000s recession, GWI

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