Similar Search Results

Why does the yield-curve slope predict recessions?

Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018

Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...

Persistent link: https://www.econbiz.de/10011924714

Predictive Power of Markovian Models : Evidence from U.S. Recession Forecasting

Tian, Ruilin - 2018

This paper brings new evidence of predicting the U.S. recessions through Markovian models. The Markovian models, including the Hidden Markov and Markov models, incorporate the temporal autocorrelation of binary recession indicators in a more traditional and natural way. Considering interest...

Persistent link: https://www.econbiz.de/10012923328

Improving a Term Spread Model to Forecast U.S. Output Growth

Do, Nguyen - 2019

The ability of term spread to forecast U.S. output growth could be improved by two ways: (i) Combining with the Harrod …

Persistent link: https://www.econbiz.de/10012900448

What predicts U.S. recessions?

Liu, Weiling; Mönch, Emanuel - 2014

We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver...

Persistent link: https://www.econbiz.de/10010404520

The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy

Wieland, Volker - 2010

historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts … particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast … heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity …

Persistent link: https://www.econbiz.de/10013142142

The diversity of forecasts from macroeconomic models of the U.S. economy

Wieland, Volker; Wolters, Maik H. - 2010

Persistent link: https://www.econbiz.de/10003973758

The Expectational Effects of News in Business Cycles : Evidence from Forecast Data

Miyamoto, Wataru - 2017

This paper proposes to exploit data on expectations to identify news shocks in business cycles. News shocks work through changes in expectations, so data on expectations contain important information for identification. We demonstrate this by estimating a DSGE model augmented with news shocks...

Persistent link: https://www.econbiz.de/10012972743

Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guérin, Pierre - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap …

Persistent link: https://www.econbiz.de/10013120226

Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination

Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap … ; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …

Persistent link: https://www.econbiz.de/10009380402

Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts

Galimberti, Jaqueson K.; Moura, Marcelo - 2014

Measuring economic activity in real-time is a crucial issue in applied research and in the decision-making process of policy makers; however, it also poses intricate challenges to statistical filtering methods that are built to operate optimally under the auspices of an infinite number of...

Persistent link: https://www.econbiz.de/10010376398