Arbeitspapier

Residential Investment and Recession Predictability

We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1-2014Q4. Our approach is to estimate various probit models with different leading indicators and evaluate their relative prediction accuracy using the receiver operating characteristic curve. We document that residential investment contains information useful in predicting recessions both in-sample and out-of-sample. This result is robust to adding typical leading indicators, such as the term spread, stock prices, consumer condence surveys and oil prices. It is shown that residential investment is particularly useful in predicting recessions for countries with high homeownership rates. Finally, in a separate exercise for the US economy, we show that the predictive ability of residential investment is robust to employing real-time data.

ISBN
978-82-8379-010-8
Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 24/2017

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Thema
recession predictability
leading indicators
real-time data
housing

Ereignis
Geistige Schöpfung
(wer)
Aastveit, Knut Are
Anundsen, André K.
Herstad, Eyo I.
Ereignis
Veröffentlichung
(wer)
Norges Bank
(wo)
Oslo
(wann)
2017

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Aastveit, Knut Are
  • Anundsen, André K.
  • Herstad, Eyo I.
  • Norges Bank

Entstanden

  • 2017

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