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A biannual recession-forecasting model

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  • Peláez, Rolando F.

Abstract

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.

Suggested Citation

  • Peláez, Rolando F., 2015. "A biannual recession-forecasting model," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 384-393.
    • Handle: RePEc:eee:jmacro:v:45:y:2015:i:c:p:384-393
    DOI: 10.1016/j.jmacro.2015.07.002
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    References listed on IDEAS

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    1. Hendry, David F., 2000. "Econometrics: Alchemy or Science?: Essays in Econometric Methodology," OUP Catalogue, Oxford University Press, number 9780198293545.
    2. Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
    3. Marcelle Chauvet & Simon Potter, 2005. "Forecasting recessions using the yield curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(2), pages 77-103.
    4. Loungani, Prakash, 2001. "How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth," International Journal of Forecasting, Elsevier, vol. 17(3), pages 419-432.
    5. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
    6. Ana Beatriz C. Galvao, 2006. "Structural break threshold VARs for predicting US recessions using the spread," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 463-487.
    7. Heikki Kauppi & Pentti Saikkonen, 2008. "Predicting U.S. Recessions with Dynamic Binary Response Models," The Review of Economics and Statistics, MIT Press, vol. 90(4), pages 777-791, November.
    8. Arturo Estrella & Mary R. Trubin, 2006. "The yield curve as a leading indicator: some practical issues," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 12(Jul).
    9. Don Harding & Adrian Pagan, 2010. "Can We Predict Recessions?," NCER Working Paper Series 69, National Centre for Econometric Research.
    10. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
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    Cited by:

    1. Glocker, Christian & Kaniovski, Serguei, 2020. "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper 101874, University Library of Munich, Germany.

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    More about this item

    Keywords

    Business cycles; Forecasting recessions; Econometric models;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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