macroeconomic time series have important predictive power for NBER recession dates. A pseudo out-of-sample forecasting exercise …A probit model is used to show that latent common factors estimated by principal components from a large number of … shows that predicted recession probabilities consistently rise during subsequently declared NBER recession dates. The latent …

classical recession predictors or with common factors based on a large panel of macroeconomic and ?nancial variables. Sentiment … variables hold vast predictive power for US recessions in excess of both the classical recession predictors and the common … factors. The strong importance of the sentiment variables is documented both in-sample and out-of-sample. …

classical recession predictors or common factors based on a large panel of macroeconomic and financial variables. Sentiment … variables hold vast predictive power for US recessions in excess of both the classical recession predictors and the common … factors. The strong importance of the sentiment variables is documented both in-sample and out-of-sample. …

growth rate). Furthermore, the dates discovered as recession periods match remarkably well with the Swiss business cycle … significant duration dependence in recessions, i.e. the longer a recession lasts the more likely it is to end …

classical recession predictors or common factors based on a large panel of macroeconomic and financial variables. Sentiment … variables hold vast predictive power for US recessions in excess of both the classical recession predictors and the common … factors. The strong importance of the sentiment variables is documented both in-sample and out-of-sample …

forecasting U.S. recession periods …In this paper, a large amount of different financial and macroeconomic variables are used to predict the U.S. recession … imbalance problem of the binary response variable. The class imbalance, caused by the scarcity of recession periods in our …