in the probit model the fact that the economy is already in a state of recession must be controlled for. The results of …

negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are … well. We show that such model-implied recession probabilities strongly improve equity premium prediction out-of-sample. We …

significantly improve the precision of recession predictions, especially at horizons further out than one year. …

recession forecasts significantly. In particular, the factor related to financial market participants’ uncertainty and risk …

recession forecasts significantly. In particular, the factor related to financial market participants' uncertainty and risk …

latent variable, which captures the autocorrelation in the recession binary variable, results in an intractable likelihood …

before falling into a recession, and the paper designs Markov-switching models that behave in that way. While the switching … models using output growth alone produce a considerable number of false positive recession signals, adding the slope of the … positives and improves recession forecasting. The switching model is particularly good at forecasting at long horizons …

growth, the public debt and currency crisis in the euro zone, and – connected with this – the recession in Southern Europe …