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Predicting recessions with interest rate spreads : a multicountry regime-switching analysis
Ahrens, Ralf - 1999
forecasting ability of the spread. Klassifikation: …
Persistent link: https://www.econbiz.de/10009768273
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Detecting and forecasting business cycle turning points
Harding, Don - Volkswirtschaftliche Fakultät, … - 2008
research on detecting and forecasting business cycle turning points. …
Persistent link: https://www.econbiz.de/10009323455
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Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes
Barsoum, Fady; Stankiewicz, Sandra - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2013
not only simplify the model estimation, but also improve its forecasting performance. We allow the parameters of the MIDAS … large dataset with the help of factor analysis. Monte Carlo experiments and an empirical forecasting comparison carried out … for the U.S. GDP growth show that the models of the MS-UMIDAS class exhibit similar or better nowcasting and forecasting …
Persistent link: https://www.econbiz.de/10010666544
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Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?
McGuckin, Robert H.; Ozyildirim, Ataman - The Conference Board - 2003
This paper reports real-time out-of-sample tests of the ability of the U.S. Index Leading Economic Indicators (LEI) to forecast the economy using "composition-changing" "as-published" versions of the LEI. It is an extension of recent work that focused on forecasts with a "composition-constant"...
Persistent link: https://www.econbiz.de/10005001412
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Markov-Switching MIDAS Models
Guerin, Pierre; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008868072
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The R-word index for Switzerland
Iselin, David; Siliverstovs, Boriss - 2012
In a pioneering attempt we present the R(ecession)-word index for Switzerland. We evaluate its predictive ability of GDP growth using real-time vintages of GDP data, closely simulating flow of information in the past. We find that inclusion of the R-word index led to statistically significant...
Persistent link: https://www.econbiz.de/10009557782
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A probit model for the state of the Greek GDP growth
Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...
Persistent link: https://www.econbiz.de/10011312197
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Using newspapers for tracking the business cycle : a comparative study for Germany and Switzerland
Iselin, David; Siliverstovs, Boriss - 2013
On the basis of keyword searches in newspaper articles several versions of the Recession-word Index (RWI) are constructed for Germany and Switzerland. We use these indices in order to track the business cycle dynamics in these two countries. Our main findings are the following. First, we show...
Persistent link: https://www.econbiz.de/10009757256
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Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle
Harding, Don - 2010
To match the NBER business cycle features it is necessary to employ Generalised Dynamic Categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition...
Persistent link: https://www.econbiz.de/10013138566
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Forecasting World Output : The Rising Importance of Emerging Economies
Borin, Alessandro - 2012
and forecasting the global outlook. Our main results are that (i) the rise of the emerging countries has sharply altered … the correlation of growth rates among the main economic areas; (ii) this is clearly detectable in forecasting equations as …
Persistent link: https://www.econbiz.de/10013108345