A biannual recession-forecasting model

A biannual recession-forecasting model

•The model forecasts all business cycle peaks and troughs, out-of-sample, from 1970 to 2015.•The predictive power of the regressors is stable over time.•All necessary data are readily available.•The yield spread is no longer a reliable predictor of the turn. The model predicts out-of-sample whether...

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Veröffentlicht in:Journal of macroeconomics 2015-09, Vol.45, p.384-393
1. Verfasser: Peláez, Rolando F.
Format: Artikel
Sprache:eng
Schlagworte:
Business cycles
Econometric models
Economic forecasts
Economic models
Economic theory
Forecasting recessions
Forecasting techniques
Recession
Recessions
Samples
Studies
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Beschreibung
Zusammenfassung:•The model forecasts all business cycle peaks and troughs, out-of-sample, from 1970 to 2015.•The predictive power of the regressors is stable over time.•All necessary data are readily available.•The yield spread is no longer a reliable predictor of the turn. The model predicts out-of-sample whether an NBER-defined peak or trough will occur within the next half-year. It yields a 100% proportion of correct recursive forecasts from 1970 to 2015. All the necessary data are readily available in un-revised form.
ISSN:0164-0704
1873-152X
DOI:10.1016/j.jmacro.2015.07.002