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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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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik H. - 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/10010303756
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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/10010319709
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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/10010319719
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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
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Macroeconomic Forecasting During the Great Recession : The Return of Non-Linearity?
Ferrara, Laurent - 2014
The debate on the forecasting ability in economics of non-linear models has a long history, and the Great Recession … provides us with an opportunity for a re-assessment of the forecasting performance of several classes of non-linear models … some countries and/or variables appear to be more adapted to non-linear forecasting …
Persistent link: https://www.econbiz.de/10013066037