A probit model for the state of the Greek GDP growth

Stavros Degiannakis

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 state of the GDP growth. A contemporaneous, as well as a lagged, relationship between the explanatory variables and the state of the GDP growth is conducted. The mean absolute distance (MAD) between the probability of not being in recession and the probability estimated by the probit model is the function that evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as the explanatory variables has the lowest MAD value of 6.43% (7.94%) in the contemporaneous (lagged) relationship.

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Year of publication:	2015
Authors:	Degiannakis, Stavros
Published in:	International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 3.2015, 3, p. 381-392
Subject:	Swiss franc \| Euro peg \| black swans \| currency trading losses \| Swiss exports \| quantitative easing \| negative interest rates \| GDP growth \| industrial production \| probability of recession \| probit model \| realized volatility \| regime switching \| Probit-Modell \| Probit model \| Schweiz \| Switzerland \| Volatilität \| Volatility \| Griechenland \| Greece \| Wechselkurs \| Exchange rate \| Schweizer Franken \| Schätzung \| Estimation \| Eurozone \| Euro area \| Wirtschaftswachstum \| Economic growth \| Bruttoinlandsprodukt \| Gross domestic product \| Wirkungsanalyse \| Impact assessment \| Nationaleinkommen \| National income \| Prognoseverfahren \| Forecasting model \| Euro \| Quantitative Lockerung \| Quantitative easing \| Konjunktur \| Business cycle

Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/ijfs3030381 [DOI] hdl:10419/167789 [Handle]
Classification:	E27 - Forecasting and Simulation ; C22 - Time-Series Models ; C32 - Time-Series Models ; C40 - Econometric and Statistical Methods: Special Topics. General ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

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