Arbeitspapier
Forecasting euro area recessions in real-time
I present evidence that the linear mixed-frequency Bayesian VAR provides very sharp and well calibrated monthly real-time recession probabilities for the euro area for the period from 2004 until 2013. The model outperforms not only the univariate regime-switching models for a number of hard and soft economic indicators and their optimal linear combinations, but also a real-time recession index obtained with Google Trends data. This result holds irrespective of whether the joint predictive distribution of several economic indicators or the marginal distribution of real GDP growth is evaluated to extract the real-time recession probabilities of the mixed-frequency Bayesian VAR. The inclusion of the confidence index in industry turns out to be crucial for the performance of the model.
- Language
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Englisch
- Bibliographic citation
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Series: Kiel Working Paper ; No. 2020
- Classification
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Wirtschaft
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
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Density nowcasting
Real-time recession forecasting
Mixed-frequency data
Bayesian VAR
Regime-switching models
Linear opinion pool
Google Trends
- Event
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Geistige Schöpfung
- (who)
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Pirschel, Inske
- Event
-
Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Pirschel, Inske
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2016
Other Objects (12)
Forecasting euro area recessions in real-time
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Euro area real-time density forecasting with financial or labor market frictions
Forecasting Recessions in Real Time
Forecasting U.S. Recessions and Economic Activity
Forecasting recessions using the yield curve
Forecasting Euro Area Macroeconomic Aggregate Variables
Does the yield spread predict recessions in the euro area?
Does the yield spread predict recessions in the Euro area?
Forecasting trend output in the Euro area
Forecasting trend output in the Euro area
Forecasting recessions with financial variables and temporal dependence
Forecasting euro area recessions in real-time
Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR
Euro area real-time density forecasting with financial or labor market frictions
Forecasting Recessions in Real Time
Forecasting U.S. Recessions and Economic Activity
Forecasting recessions using the yield curve
Forecasting Euro Area Macroeconomic Aggregate Variables
Does the yield spread predict recessions in the euro area?
Does the yield spread predict recessions in the Euro area?
Forecasting trend output in the Euro area
Forecasting trend output in the Euro area