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Predicting U.S. Recessions : Financial Variables as Leading Indicators
Estrella, Arturo - 1995
This article examines the performance of various financial variables as predictors of subsequent U.S. recessions. Series such as interest rates and spreads, stock prices, currencies, and monetary aggregates are evaluated singly and in comparison with other financial and non-financial indicators....
Persistent link: https://www.econbiz.de/10012473488
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A New Way of Forecasting Recessions
Leamer, Edward E. - National Bureau of Economic Research - 2022
This paper proposes a new way of displaying and analyzing macroeconomic time series to form recession forecasts. The proposed data displays contain the last three years of each expansion. These allow observers to see for themselves what is different about the last year before recession. Based on...
Persistent link: https://www.econbiz.de/10013334464
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Forecasting Recessions Under the Gramm-Rudman-Hollings Law
Zarnowitz, Victor - 1986
The targeted deficit reductions of the Gramm-Rudman-Hollings (GRH) law are to be temporarily suspended in case of an official determination that real economic growth either (a) has been less than one percent in the two most recent reported quarters, or (b) is projected to be less than zero in...
Persistent link: https://www.econbiz.de/10012477003
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A Procedure for Predicting Recessions With Leading Indicators : Econometric Issues and Recent Experience
Stock, James H. - 1992
This paper examines the forecasting performance of various leading economic indicators and composite indexes since 1988. in particular during the onset of the 1990 recession. The primary focus is on an experimental recession index (tile "XRI"). a composite index which provides probabilistic...
Persistent link: https://www.econbiz.de/10012474966
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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012472795
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2013
tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …
Persistent link: https://www.econbiz.de/10012459667
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Durability of Output and Expected Stock Returns
Gomes, Joao F. - 2007
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we...
Persistent link: https://www.econbiz.de/10012465670
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Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle
Bianchi, Francesco - 2014
This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...
Persistent link: https://www.econbiz.de/10012458583
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Volatility, the Macroeconomy and Asset Prices
Bansal, Ravi - 2012
We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …
Persistent link: https://www.econbiz.de/10012460556
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Does Age Structure Forecast Economic Growth?
Bloom, David E. - 2007
Increases in the proportion of the working age population can yield a "demographic dividend" that enhances the rate of economic growth. We estimate the parameters of an economic growth model with a cross section of countries over the period 1960 to 1980 and investigate whether the inclusion of...
Persistent link: https://www.econbiz.de/10012465433