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In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...
Persistent link: https://www.econbiz.de/10011519115
We investigate whether the KOF Barometer - a leading indicator regularly released by the KOF Swiss Economic Institute - can be useful for short-term out-of-sample prediction of year-on-year quarterly real GDP growth rates in Switzerland. We find that the KOF Barometer appears to be useful for...
Persistent link: https://www.econbiz.de/10010285792
become available we observe a steady increase in forecast accuracy. -- Leading indicators ; forecasting ; Bayesian model …
Persistent link: https://www.econbiz.de/10008728700
Swiss business cycle. With this set of indicators, we conduct the different imputations. On this basis, we then run standard …
Persistent link: https://www.econbiz.de/10013482570
Swiss business cycle. With this set of indicators, we conduct the different imputations. On this basis, we then run standard …
Persistent link: https://www.econbiz.de/10014262560
they share a common theme, the Swiss business cycle. With this set of indicators, we conduct the different imputations. On …
Persistent link: https://www.econbiz.de/10013472865
consumption based on both the conventional consumer confidence indicators and the Google indicators. The latter are extracted from … the Google searches using the principal component analysis. It is shown that the Google indicators are especially … alternative during the 2008m1-2009m5 forecast period. In addition, Google indicators are available at weekly frequency and not …
Persistent link: https://www.econbiz.de/10003897268
benchmark AR(1) model and the models including the consumer surveys and financial indicators. According to the Diebold … models. Apart from several Google-based models, the MCS contains also some models including survey-based indicators and … indicators ; real-time nowcasting ; principal components ; US private consumption …
Persistent link: https://www.econbiz.de/10003958670
benchmark AR(1) model and the models including the consumer surveys and financial indicators. According to the Diebold … models. Apart from several Google-based models, the MCS contains also some models including survey-based indicators and … indicators ; real-time nowcasting ; principal components ; US private consumption …
Persistent link: https://www.econbiz.de/10008729133
benchmark AR(1) model and the models including the consumer surveys and financial indicators. According to the Diebold … models. Apart from several Google-based models, the MCS contains also some models including survey-based indicators and …
Persistent link: https://www.econbiz.de/10013116093