Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data
Author
Abstract
Suggested Citation
DOI: 10.1111/infi.12111
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- André, Christophe & Caraiani, Petre & Gupta, Rangan, 2023.
"Fiscal policy and stock markets at the effective lower bound,"
Finance Research Letters, Elsevier, vol. 58(PC).
- Christophe Andre & Petre Caraiani & Rangan Gupta, 2023. "Fiscal Policy and Stock Markets at the Effective Lower Bound," Working Papers 202309, University of Pretoria, Department of Economics.
- Sheng, Xin & Marfatia, Hardik A. & Gupta, Rangan & Ji, Qiang, 2021.
"House price synchronization across the US states: The role of structural oil shocks,"
The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Xin Sheng & Hardik A. Marfatia & Rangan Gupta & Qiang Ji, 2020. "House Price Synchronization across the US States: The Role of Structural Oil Shocks," Working Papers 202076, University of Pretoria, Department of Economics.
- Wang, Shixuan & Gupta, Rangan & Zhang, Yue-Jun, 2021.
"Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data,"
Finance Research Letters, Elsevier, vol. 43(C).
- Shixuan Wang & Rangan Gupta & Yue-Jun Zhang, 2020. "Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data," Working Papers 202097, University of Pretoria, Department of Economics.
- Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020.
"Moments-based spillovers across gold and oil markets,"
Energy Economics, Elsevier, vol. 89(C).
- Matteo Bonato & Rangan Gupta & Chi Keung Marco Lau & Shixuan Wang, 2019. "Moments-Based Spillovers across Gold and Oil Markets," Working Papers 201966, University of Pretoria, Department of Economics.
- Gupta, Rangan & Kanda, Patrick & Tiwari, Aviral Kumar & Wohar, Mark E., 2019.
"Time-varying predictability of oil market movements over a century of data: The role of US financial stress,"
The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Rangan Gupta & Patrick Kanda & Aviral Kumar Tiwari & Mark E. Wohar, 2018. "Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress," Working Papers 201848, University of Pretoria, Department of Economics.
- João Frois Caldeira & Rangan Gupta & Muhammad Tahir Suleman & Hudson S. Torrent, 2021.
"Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(15), pages 4312-4329, December.
- Joao F. Caldeira & Rangan Gupta & Tahir Suleman & Hudson S. Torrent, 2019. "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Working Papers 201911, University of Pretoria, Department of Economics.
- Gupta, Rangan & Huber, Florian & Piribauer, Philipp, 2020.
"Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models,"
International Review of Financial Analysis, Elsevier, vol. 68(C).
- Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
- Cepni, Oguzhan & Gupta, Rangan & Karahan, Cenk C. & Lucey, Brian, 2022.
"Oil price shocks and yield curve dynamics in emerging markets,"
International Review of Economics & Finance, Elsevier, vol. 80(C), pages 613-623.
- Oguzhan Cepni & Rangan Gupta & Cenk C. Karahan & Brian M. Lucey, 2020. "Oil Price Shocks and Yield Curve Dynamics in Emerging Markets," Working Papers 202036, University of Pretoria, Department of Economics.
- Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2021.
"Dynamic impact of the U.S. monetary policy on oil market returns and volatility,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 159-169.
- Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2019. "Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility," Working Papers 201916, University of Pretoria, Department of Economics.
- Gupta, Rangan & Sheng, Xin & van Eyden, Reneé & Wohar, Mark E., 2021.
"The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence,"
Finance Research Letters, Elsevier, vol. 43(C).
- Rangan Gupta & Xin Sheng & Renee van Eyden & Mark E. Wohar, 2020. "The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence," Working Papers 202096, University of Pretoria, Department of Economics.
- Gupta, Rangan & Sheng, Xin & Balcilar, Mehmet & Ji, Qiang, 2021.
"Time-varying impact of pandemics on global output growth,"
Finance Research Letters, Elsevier, vol. 41(C).
- Rangan Gupta & Xin Sheng & Mehmet Balcilar & Qiang Ji, 2020. "Time-Varying Impact of Pandemics on Global Output Growth," Working Papers 202062, University of Pretoria, Department of Economics.
- Riza Demirer & Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2020. "Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data," Working Papers 2020104, University of Pretoria, Department of Economics.
- Duan, Yunlong & Mu, Chang & Yang, Meng & Deng, Zhiqing & Chin, Tachia & Zhou, Li & Fang, Qifeng, 2021. "Study on early warnings of strategic risk during the process of firms’ sustainable innovation based on an optimized genetic BP neural networks model: Evidence from Chinese manufacturing firms," International Journal of Production Economics, Elsevier, vol. 242(C).
- Elie Bouri & Rangan Gupta & Shixuan Wang, 2019. "Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach," Working Papers 201917, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022.
"Forecasting oil prices over 150 years: The role of tail risks,"
Resources Policy, Elsevier, vol. 75(C).
- Afees A. Salisu & Rangan Gupta & Qiang Ji, 2021. "Forecasting Oil Price over 150 Years: The Role of Tail Risks," Working Papers 202120, University of Pretoria, Department of Economics.
- Andreas Psimopoulos, 2020. "Forecasting Economic Recessions Using Machine Learning:An Empirical Study in Six Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 18(1), pages 40-99.
- Bouri, Elie & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2021.
"Gold, platinum and the predictability of bond risk premia,"
Finance Research Letters, Elsevier, vol. 38(C).
- Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers 201967, University of Pretoria, Department of Economics.
- Bouri, Elie & Gupta, Rangan & Pierdzioch, Christian & Polat, Onur, 2024.
"Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments,"
Finance Research Letters, Elsevier, vol. 69(PB).
- Elie Bouri & Rangan Gupta & Christian Pierdzioch & Onur Polat, 2024. "Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments," Working Papers 202435, University of Pretoria, Department of Economics.
- Ronald Ravinesh Kumar & Peter Josef Stauvermann & Hang Thi Thu Vu, 2021. "The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries," JRFM, MDPI, vol. 14(2), pages 1-23, February.
- Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2023.
"Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries,"
Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(3), pages 365-381, July.
- Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2021. "Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries," Working Papers 202126, University of Pretoria, Department of Economics.
- Yizheng Fu & Zhifang Su & Aihua Lin, 2024. "Functional Cointegration Test for Expectation Hypothesis of the Term Structure of Interest Rates in China," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 799-820, December.
- Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
- Jacobus Nel & Rangan Gupta & Mark E. Wohar & Christian Pierdzioch, 2024. "Climate Risks And Predictability Of Commodity Returns And Volatility: Evidence From Over 750 Years Of Data," Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-40, November.
- Jacobus Nel & Rangan Gupta & Mark E. Wohar & Christian Pierdzioch, 2022. "Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data," Working Papers 202242, University of Pretoria, Department of Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:intfin:v:20:y:2017:i:3:p:289-316. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1367-0271 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.