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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
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Predicting recessions and recoveries in real time: The euro area-wide leading indicator (ALI)
de Bondt, Gabe; Hahn, Elke - 2010
production excluding construction is close to identical to the real GDP cycle, ii) the ALI reliably leads the BCI by 6 months and …
Persistent link: https://www.econbiz.de/10011605292
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A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts
Van Nieuwenhuyze, Christophe - 2006
Belgian GDP, while they lead euro area GDP and its confidence indicators. Consumer confidence seems to lag. Although the model … countries, macroeconomic variables and some worldwide watched indicators such as the ISM and the OECD confidence indicators. The …-known indicators such as the EC economic sentiment indicator for Belgium and the NBB overall synthetic curve contain a high amount of …
Persistent link: https://www.econbiz.de/10011506602
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A generalised dynamic factor model for the Belgian economy : useful business cycle indicators and GDP growth forecasts
Van Nieuwenhuyze, Christophe - 2006
Belgian GDP, while they lead euro area GDP and its confidence indicators. Consumer confidence seems to lag. Although the model … countries, macroeconomic variables and some worldwide watched indicators such as the ISM and the OECD confidence indicators. The …-known indicators such as the EC economic sentiment indicator for Belgium and the NBB overall synthetic curve contain a high amount of …
Persistent link: https://www.econbiz.de/10003343540
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The Ifo business cycle clock : circular correlation with the real GDP
Abberger, Klaus; Nierhaus, Wolfgang - 2010
are presented by Eurostat, the OECD and others. The German Federal Statistical Office presents the real GDP in a 4 …
Persistent link: https://www.econbiz.de/10008697108
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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10003973758
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Corporate bond spreads and real activity in the euro area : least Angle Regression forecasting and the probability of the recession
Buchmann, Marco - 2011
in real activity. Numerous alternative leading indicators capturing macroeconomic and financial conditions are included … between 5 and 10 years appear particularly rich in content. The spreads also belong to the group of indicators that implied …
Persistent link: https://www.econbiz.de/10008901497
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How strongly did the 2007/08 oil price hike contribute to the subsequent recession?
Carstensen, Kai; Elstner, Steffen; Paula, Georg - 2011
In this paper we challenge the view that the oil price has lost its influence on economic activity after the mid-1980s. While we concede that typical VAR models put forward in the literature fail to identify oil price shocks that significantly affect aggregate production, we obtain clearly...
Persistent link: https://www.econbiz.de/10009010510
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An application of business cycle accounting with misspecified wedges
Nutahara, Kengo; Inaba, Masaru - 2011
It is often assumed that wedges evolve according to the VAR (1) in the applications of business cycle accounting (BCA). However, recent research finds that the wedges have no VAR (1) representation in many dynamic stochastic general equilibrium (DSGE) economies, and that there might be a...
Persistent link: https://www.econbiz.de/10009153220
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New housing registrations as a leading indicator of the BC economy
Cheung, Calista; Granovsky, Dmitry - 2016
remain significant for growth in real GDP over the next two quarters even in the presence of other leading indicators in the …Housing starts and building permits data are commonly used as leading indicators of economic activity. In British … detached homes have statistically significant predictive content for growth in real GDP over the next one to three quarters …
Persistent link: https://www.econbiz.de/10011420635