A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts

This paper aims to extract the common variation in a data set of 509 conjunctural series as an indication of the Belgian business cycle. The data set contains information on business and consumer surveys of Belgium and its neighbouring countries, macroeconomic variables and some worldwide watched indicators such as the ISM and the OECD confidence indicators. The statistical framework used is the One-sided Generalised Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2005). The model splits the series in a common component, driven by the business cycle, and an idiosyncratic c... Mehr ...