The R-word index for Switzerland
In a pioneering attempt, we present the R(ecession)-word index for Switzerland. We evaluate its predictive ability of GDP growth using real-time vintages of GDP data, closely simulating flow of information in the past. We find that inclusion of the R-word index led to a statistically significant improvement in forecast accuracy over the benchmark autoregressive (AR) model. Largest improvements in forecast accuracy were observed in the period around the Great Recession.
Year of publication: |
2013
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Authors: | Iselin, David ; Siliverstovs, Boriss |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 20.2013, 11, p. 1032-1035
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Publisher: |
Taylor & Francis Journals |
Saved in:
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