Predicting recession probabilities with financial variables over multiple horizons
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More about this item
Keywords
forecasting; Probit; recessions; VAR;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
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2010-10-23 (Business Economics)
- NEP-CBA-2010-10-23 (Central Banking)
- NEP-ECM-2010-10-23 (Econometrics)
- NEP-EEC-2010-10-23 (European Economics)
- NEP-FOR-2010-10-23 (Forecasting)
- NEP-RMG-2010-10-23 (Risk Management)
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