We propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, without imposing any given model but trying to 'leave the data speak'. We develop a novel method to show that there is no evidence of a 'European economy' that acts as an attractor to the other economies of the area. We show that the establishment of the Monetary Union has not significantly increased the level of comovements across Euro-area economies. Finally, we are able to explain an important proportion of the distances across their business cycles using macrovariables related to the structure of the economy, to the directions of trade, and to the size of the public sector. r

We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data set, we show that our simple factor model algorithm, which uses a clear, easy-to-replicate methodology, is able to forecast the euro area GDP growth as well as professional forecasters who can combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide examples showing how data revisions and data availability a¤ect point forecasts and forecast uncertainty.Keywords: Business Cycles, Output Growth, Time Series. JEL Classi…cation: E32, C22, E27We th a n k th e e d ito r a n d th e tw o re fe re e s fo r e x tre m e ly va lu a b le c o m m e nts w h ich h ave g re a tly im p rove d th e c o nte nts o f o u r p a p e r. We a lso th a n k Fra n c is D ie b o ld , J a n J a c o b s, S im o n va n N o rd e n , K e n Wa llis a n d th e p a rtic ip a nts a t th e 5 th Wo rk sh o p o n Fo re c a stin g Te ch n iq u e s, a t th e 5 th C o llo q u iu m o n M o d e rn To o ls fo r B u sin e ss C y c le A n a ly sis, a n d a t th e inte rn a l se m in a r se rie s o f B a n c o d e E sp a ñ a , th e E u ro p e a n C e ntra l B a n k , C E M F I, th e U n ive rsity C a rlo s I I I, th e U n ive rsity o f A lic a nte a n d th e U n ive rsity o f N ava rra fo r h e lp fu l c o m m e nts a n d su g g e stio n s. We re c e ive d e x tre m e ly va lu a b le re se a rch a ssista n c e fro m C a m ilo U llo a . We a re a lso g ra te fu l to th e E u ro A re a U n it o f th e B a n k o f S p a in fo r a ll th e p re lim in a ry m e e tin g s th a t le a d to th is p a p e r. F in a lly, w e a re th a n k fu l to J u a n A y u so fo r h is c le ve r id e a c o n c e rn in g th e n a m e o f th e in d ic a to r. A ny re m a in in g e rro rs a re o u r ow n re sp o n sib ility. P a rt o f th e p a p e r w a s w ritte n w h e n th e …rst a u th o r w a s v isitin g th e B a n k o f S p a in . M a x im o C a m a ch o th a n k s th e …n a n c ia l su p p o rt o f th e p ro je c t S E J 2 0 0 6 -1 5 1 7 2 . T h e v ie w s in th is p a p e r a re th o se o f th e a u th o rs a n d d o n o t re p re se nt th e v ie w s o f th e B a n k o f S p a in o r th e E u ro S y ste m .

In this paper, I extend to a multiple-equation context the linearity, model selection and model adequacy tests recently proposed for univariate smooth transition regression models. Using this result, I examine the nonlinear forecasting power of the Conference Board composite index of leading indicators to predict both output growth and the business-cycle phases of the US economy in real time. Copyright © 2004 John Wiley & Sons, Ltd.

Relationships between antimicrobial use and MRSA prevalence are analyzed in Aberdeen, Scotland.

SUMMARYWe set out a model to compute short-term forecasts of the euro area GDP growth in real time. To allow for forecast evaluation, we construct a real-time dataset that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this dataset we show that our simple factor model algorithm, which uses an easy-to-replicate methodology, is able to forecast the euro area GDP growth as well as professional forecasters who can combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide examples showing how data revisions and data availability affect point forecasts and forecast uncertainty.

The authors propose a new panel data methodology to test real convergence in a non-linear framework. This extends the existing methods by combining three approaches: the threshold model, the panel data unit root tests, and the computation of critical values by bootstrap simulation. The authors apply their methodology to the per capita outputs of a total of 15 European countries, including some of the East European countries that have recently joined the EU. Copyright � 2008 The Authors. Journal compilation � 2008 Blackwell Publishing Ltd.

This paper provides a comprehensive framework to analyze business cycle features other than synchronization. We use stationary bootstrap and model-based clustering methods to analyze similarities and differences among the European cycles. We find evidence that the length, deep and shape of cycles differ across European countries and that these differences are not decreasing over time. Finally, even though we find some correlation between business cycle synchronization and characteristics, there is important information in the characteristics that is not captured by the synchronization measures. r

We extend the Markov-switching dynamic factor model to account for some of the speci…cities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as mixed-sampling frequency and ragged-edge data. First, we evaluate the theoretical gains of using promptly available data to compute probabilities of recession in real time. Second, we show how to estimate the model that deals with unbalanced panels of data and mixed frequencies and examine the bene…ts of this extension through several Monte Carlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle and compare it with the alternative method of forecasting the probabilities of recession from balanced panels.Keywords: Business Cycles, Output Growth, Time Series. JEL Classi…cation: E32, C22, E27We a re in d e b te d to M a rc e lle C h a u ve t fo r k in d ly sh a rin g p a rt o f th e re a l-tim e d a ta v inta g e s u se d in th e e m p iric a l a p p lic a tio n . We th a n k th e e d ito r, th e a sso c ia te e d ito r a n d tw o a n o ny m o u s re v ie w e rs fo r th e ir c o m m e nts. P a rt o f th is p a p e r w a s w ritte n w h ile th e th ird a u th o r w a s v isitin g th e B a n k o f S p a in . F in a n c ia l su p p o rt fro m th e S p a n ish g ove rn m e nt, c o ntra c t g ra nts E C O 2 0 1 5 -7 0 3 3 1 -C 2 -1 -R a n d E C O 2 0 1 6 -7 6 1 7 8 -P (M IN E C O / F E D E R ), a n d 1 9 8 8 4 / G E R M / 1 5 (G ro u p s o f E x c e lle n c e , Fu n d a c ió n S é n e c a , a n d S c ie n c e a n d Te ch n o lo g y A g e n c y ), is g ra te fu lly a ck n ow le d g e d . A ny e rro rs a re o u r re sp o n sib ility. T h e v ie w s in th is p a p e r a re th o se o f th e a u th o rs a n d d o n o t re p re se nt th e v ie w s o f th e E u ro p e a n C o m m issio n , th e B a n k o f S p a in o r th e E u ro sy ste m . C o d e s a n d d a ta th a t re p lic a te th e re su lts c a n b e d ow n lo a d e d fro m th e a u th o rs' w e b site s.