in the probit model the fact that the economy is already in a state of recession must be controlled for. The results of …

negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are … well. We show that such model-implied recession probabilities strongly improve equity premium prediction out-of-sample. We …

provide a readable and leading signal of recession by combining information according to two combining schemes over the sample … 1970 - 2006. First we average recession probabilities and second we linearly combine variables through a dynamic factor … show that financial variables would have been helpful in predicting a recession signal as early as September 2007, that is …

significantly improve the precision of recession predictions, especially at horizons further out than one year. …

recession forecasts significantly. In particular, the factor related to financial market participants’ uncertainty and risk …

recession forecasts significantly. In particular, the factor related to financial market participants' uncertainty and risk …

latent variable, which captures the autocorrelation in the recession binary variable, results in an intractable likelihood …