Forecasting US Recessions: The Role of Sentiments

We examine sentiment variables as new predictors for US recessions. We combine sentiment variables with either 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.

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Year of publication:	2013-04-25
Authors:	Christiansen, Charlotte ; Eriksen, Jonas Nygaard ; Møller, Stig V.
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Business cycles \| Forecasting \| Factor analysis \| Probit model \| Sentiment variables

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Notes:	3 pages long
Classification:	C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010851274