Artikel
Forecasting recessions with financial variables and temporal dependence
Extending earlier research on forecasting recessions with financial variables, I examine the importance of additional financial variables and temporal dependence for recession prediction. I show that both additional financial variables, in particular, the Treasury bill spread, default yield spread, stock return volatility, and temporal cubic terms, which account for temporal dependence, independently help to improve not only in-sample, but also out-of-sample recession prediction. I also find that additional financial variables and temporal cubic terms complement each other in enhancing the predictability of recessions, increasing the explanatory power and decreasing prediction error further, compared to their individual performance.
- Sprache
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Englisch
- Erschienen in
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Journal: Economies ; ISSN: 2227-7099 ; Volume: 9 ; Year: 2021 ; Issue: 3 ; Pages: 1-14 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
financial variables
recession forecasting
temporal dependence
- Ereignis
-
Geistige Schöpfung
- (wer)
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Chu, Pyung Kun
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2021
- DOI
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doi:10.3390/economies9030118
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chu, Pyung Kun
- MDPI
Entstanden
- 2021
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