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Predicting Recessions : A New Approach for Identifying Leading Indicators and Forecast Combinations

Kisinbay, Turgut - 2011

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data...

Persistent link: https://www.econbiz.de/10014398165

Predicting recessions : a new approach for identifying leading indicators and forecast combinations

Baba, Chikako; Kıṣınbay, Turgut - 2011

Persistent link: https://www.econbiz.de/10009422676

A Simple Forecasting Accuracy Criterion Under Rational Expectations : Evidence From the World Economic Outlook and Time Series Models

Barrionuevo, José M. - 1992

A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to...

Persistent link: https://www.econbiz.de/10014396084

How well do economists forecast recessions?

An, Zidong; Jalles, João Tovar; Loungani, Prakash - 2018

We describe the evolution of forecasts in the run-up to recessions. The GDP forecasts cover 63 countries for the years 1992 to 2014. The main finding is that, while forecasters are generally aware that recession years will be different from other years, they miss the magnitude of the recession...

Persistent link: https://www.econbiz.de/10012112326

Early Warning Systems : A Survey and a Regime-Switching Approach

Abiad, Abdul - 2003

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...

Persistent link: https://www.econbiz.de/10014404016

Is the cycle the trend? : evidence from the views of international forecasters

Bluedorn, John Christopher; Leigh, Daniel - 2018

We revisit the conventional view that output fluctuates around a stable trend by analyzing professional long-term forecasts for 38 advanced and emerging market economies. If transitory deviations around a trend dominate output fluctuations, then forecasters should not change their long-term...

Persistent link: https://www.econbiz.de/10011878713

Financial conditions indexes for the United States and euro area

Matheson, Troy - 2011

Persistent link: https://www.econbiz.de/10009486300

Trends and Cycles in the U.S. Economy

International Monetary Fund - 1990

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and...

Persistent link: https://www.econbiz.de/10014395945

Predicting downside risks to house prices and macro-financial stability

Deghi, Andrea; Katagiri, Mitsuru; Shahid, Sohaib; … - 2020

This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and … overvaluation, excessive credit growth, and tighter financial conditions jointly forecast higher house-prices-at-risk up to three … years ahead. House-prices-at-risk help predict future growth at-risk and financial crises. We also investigate and propose …

Persistent link: https://www.econbiz.de/10012252738

Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model

Kontolemis G., Zenon - 1999

This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov...

Persistent link: https://www.econbiz.de/10014401046