We propose a novel nonparametric method to distinguish between recessions vs. depressions and expansions vs. booms in aggregate economic activity. Four depression and

his paper attempts to predict the bear conditions on the US stock market. To this aim we elaborate simple predictive regressions, static and dynamic binary choice (BCM) as well as Markov-switching models. The in- and out-of-sample prediction ability is evaluated and we compare the forecasting...