Kotchoni, Rachidi; Stevanovic, Dalibor - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
This paper tackles the prediction of the probability and severity of US recessions. We employ parsimonious Probit … conditional on optimistic and pessimistic scenarios for the horizon of interest. The severity of recessions is defined as the gap … severity has the interpretation of the output loss. Our results support that U.S. recessions are predictable to a great extent …