Christiansen, Charlotte; Eriksen, Jonas Nygaard; … - In: Journal of Banking & Finance 49 (2014) C, pp. 459-468
We study the role of sentiment variables as predictors for US recessions. We combine sentiment variables with either … factors. The strong importance of the sentiment variables is documented both in-sample and out-of-sample. … classical recession predictors or common factors based on a large panel of macroeconomic and financial variables. Sentiment …