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Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle

Citations

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Cited by:

  1. Han-Liang Cheng & Nan-Kuang Chen, 2021. "A study of financial cycles and the macroeconomy in Taiwan," Empirical Economics, Springer, vol. 61(4), pages 1749-1778, October.
  2. Jiayan YU & Jingqian ZHANG & Hee Eun SHIN & Jooan KONG, 2019. "Revisiting the Economic Crisis after a Decade: Statistical and Machine Learning Perspectives," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 14-19.
  3. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
  4. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," GRU Working Paper Series GRU_2018_016, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  5. Marcelle Chauvet & Rafael R. S. Guimaraes, 2021. "Transfer Learning for Business Cycle Identification," Working Papers Series 545, Central Bank of Brazil, Research Department.
  6. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.
  7. Min Jeong Kim & Dohyoung Kwon, 2023. "Dynamic asset allocation strategy: an economic regime approach," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 136-147, March.
  8. Guérin, Pierre & Leiva-Leon, Danilo, 2017. "Model averaging in Markov-switching models: Predicting national recessions with regional data," Economics Letters, Elsevier, vol. 157(C), pages 45-49.
  9. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
  10. Henri Nyberg, 2018. "Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 1-15, January.
  11. Philip Ndikum, 2020. "Machine Learning Algorithms for Financial Asset Price Forecasting," Papers 2004.01504, arXiv.org.
  12. Davig, Troy & Hall, Aaron Smalter, 2019. "Recession forecasting using Bayesian classification," International Journal of Forecasting, Elsevier, vol. 35(3), pages 848-867.
  13. Harri Pönkä & Markku Stenborg, 2020. "Forecasting the state of the Finnish business cycle," Finnish Economic Papers, Finnish Economic Association, vol. 29(1), pages 81-99, Spring.
  14. Li, Haixi & Sheng, Xuguang Simon & Yang, Jingyun, 2021. "Monitoring recessions: A Bayesian sequential quickest detection method," International Journal of Forecasting, Elsevier, vol. 37(2), pages 500-510.
  15. Herman O. Stekler & Tianyu Ye, 2017. "Evaluating a leading indicator: an application—the term spread," Empirical Economics, Springer, vol. 53(1), pages 183-194, August.
  16. Martins, Manuel M.F. & Verona, Fabio, 2021. "Bond vs. bank finance and the Great Recession," Finance Research Letters, Elsevier, vol. 39(C).
  17. Heiberger, Raphael H., 2018. "Predicting economic growth with stock networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 489(C), pages 102-111.
  18. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
  19. Rafael R. S. Guimaraes, 2022. "Deep Learning Macroeconomics," Papers 2201.13380, arXiv.org.
  20. Lauri Nevasalmi, 2022. "Recession forecasting with high‐dimensional data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 752-764, July.
  21. Hwang, Youngjin, 2019. "Forecasting recessions with time-varying models," Journal of Macroeconomics, Elsevier, vol. 62(C).
  22. Heikki Kauppi, 2019. "Recession Prediction with OptimalUse of Leading Indicators," Discussion Papers 125, Aboa Centre for Economics.
  23. Giusto, Andrea & Piger, Jeremy, 2017. "Identifying business cycle turning points in real time with vector quantization," International Journal of Forecasting, Elsevier, vol. 33(1), pages 174-184.
  24. Vrontos, Spyridon D. & Galakis, John & Vrontos, Ioannis D., 2021. "Modeling and predicting U.S. recessions using machine learning techniques," International Journal of Forecasting, Elsevier, vol. 37(2), pages 647-671.
  25. Cheng-Feng Wu & Shian-Chang Huang & Chei-Chang Chiou & Tsangyao Chang & Yung-Chih Chen, 2022. "The Relationship Between Economic Growth and Electricity Consumption: Bootstrap ARDL Test with a Fourier Function and Machine Learning Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1197-1220, December.
  26. Shahram Fattahi & Kiomars Sohaili & Hamed Monkaresi & Fatemeh Mehrabi, 2017. "Modelling and Forecasting Recessions in Oil-exporting Countries: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 569-574.
  27. Michael T. Kiley, 2023. "Recession Signals and Business Cycle Dynamics: Tying the Pieces Together," Finance and Economics Discussion Series 2023-008, Board of Governors of the Federal Reserve System (U.S.).
  28. Filip Bašić & Tomislav Globan, 2023. "Early bird catches the worm: finding the most effective early warning indicators of recessions," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 36(1), pages 2120040-212, December.
  29. Döpke, Jörg & Fritsche, Ulrich & Pierdzioch, Christian, 2017. "Predicting recessions with boosted regression trees," International Journal of Forecasting, Elsevier, vol. 33(4), pages 745-759.
  30. Wang, Lu & Wu, Jiangbin & Cao, Yang & Hong, Yanran, 2022. "Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?," Energy Economics, Elsevier, vol. 111(C).
  31. Seulki Chung, 2023. "Real-time Prediction of the Great Recession and the Covid-19 Recession," Papers 2310.08536, arXiv.org, revised May 2024.
  32. Gregory de Walque & Thomas Lejeune & Ansgar Rannenberg, 2023. "Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets," Working Paper Research 433, National Bank of Belgium.
  33. Qin Zhang & He Ni & Hao Xu, 2023. "Forecasting models for the Chinese macroeconomy in a data‐rich environment: Evidence from large dimensional approximate factor models with mixed‐frequency data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 719-767, March.
  34. Luca Brugnolini & Giuseppe Ragusa, 2022. "Euro Area Deflationary Pressure Index," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 883-900, October.
  35. Troy Davig & Aaron Smalter Hall, 2016. "Recession forecasting using Bayesian classification," Research Working Paper RWP 16-6, Federal Reserve Bank of Kansas City.
  36. Claudia Pacella, 2021. "Dating the euro area business cycle: an evaluation," Temi di discussione (Economic working papers) 1332, Bank of Italy, Economic Research and International Relations Area.
  37. Stefan Gebauer, 2017. "The Use of Financial Market Variables in Forecasting," DIW Roundup: Politik im Fokus 115, DIW Berlin, German Institute for Economic Research.
  38. Borio, Claudio & Drehmann, Mathias & Xia, Fan Dora, 2020. "Forecasting recessions: the importance of the financial cycle," Journal of Macroeconomics, Elsevier, vol. 66(C).
  39. Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch, 2015. "Predicting Recessions in Germany With Boosted Regression Trees," Macroeconomics and Finance Series 201505, University of Hamburg, Department of Socioeconomics.
  40. Máximo Camacho & Gonzalo Palmieri, 2021. "Evaluating the OECD’s main economic indicators at anticipating recessions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 80-93, January.
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