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Predicting recession probabilities with financial variables over multiple horizons

Fornari, Fabio; Lemke, Wolfgang - 2010

We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely … point in time, the ProbVAR allows to generate conditional recession probabilities for any sequence of forecast horizons. At …

Persistent link: https://www.econbiz.de/10008688529

Economic policy uncertainty, financial markets and probability of US recessions

Karnizova, Lilia; Li, Jiaxiong - In: Economics letters 125 (2014) 2, pp. 261-265

Persistent link: https://www.econbiz.de/10010505323

The "probability of recession" : evaluating probabilistic and non-probabilistic forecasts from probit models of US recessions

Ratcliff, Ryan - In: Economics letters 121 (2013) 2, pp. 311-315

Persistent link: https://www.econbiz.de/10010347107

Forecasting US recessions : the role of economic uncertainty

Ercolani, Valerio; Natoli, Filippo - In: Economics letters 193 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509097

The implications of global and domestic credit cycles for emerging market economies : measures of finance-adjusted output gaps

Grintzalis, Ioannis; Lodge, David; Manu, Ana-Simona - 2017

We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...

Persistent link: https://www.econbiz.de/10011637326

Forecasting macroeconomic risk in real time : great and Covid-19 recessions

De Santis, Roberto A.; Van der Veken, Wouter - 2020

We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing … additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock … (such as the Covid-19 recession), financial variables serve policymakers in providing timely warnings about the severity of …

Persistent link: https://www.econbiz.de/10012241245

Output growth and fluctuation : the role of financial openness

Popov, Alexander - 2011

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel of 53 countries over 45 years, I find that financial openness increases simultaneously mean growth and the negative skewness of the growth process. The increase in output...

Persistent link: https://www.econbiz.de/10009354652

The EAGLE: a model for policy analysis of macroeconomic interdependence in the euro area

Gomes, Sandra; Jacquinot, Pascal; Pisani, Massimiliano - 2010

Building on the New Area Wide Model, we develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and Global Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions...

Persistent link: https://www.econbiz.de/10003973335

Nowcasting with large Bayesian vector autoregressions

Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020

Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...

Persistent link: https://www.econbiz.de/10012259379

Tracking global economic uncertainty : implications for the euro area

Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...

Persistent link: https://www.econbiz.de/10012503567