Forecasting US Recessions : The Role of Sentiment

We study the role of sentiment variables as predictors for US recessions. We combine sentiment variables with either 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

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Year of publication:	2014
Authors:	Christiansen, Charlotte
Other Persons:	Eriksen, Jonas Nygaard (contributor) ; Møller, Stig Vinther (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Konjunktur \| Business cycle \| Prognoseverfahren \| Forecasting model \| Frühindikator \| Leading indicator \| USA \| United States \| Wirtschaftsprognose \| Economic forecast

Extent:	1 Online-Ressource (46 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2, 2013 erstellt
Other identifiers:	10.2139/ssrn.2217403 [DOI]
Classification:	C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013064555