Forecasting US Recessions: The Role of Sentiments

Charlotte Christiansen, Jonas Nygaard Eriksen and Stig V. Møller ()
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Stig V. Møller: Aarhus University and CREATES, Postal: Department of Economics and Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We examine sentiment variables as new predictors for US recessions. We combine sentiment variables with either classical recession predictors or with common factors based on a large panel of macroeconomic and ?nancial variables. Sentiment variables hold vast predictive power for US recessions in excess of both the classical recession predictors and the common factors. The strong importance of the sentiment variables is documented both in-sample and out-of-sample.

Keywords: Business cycles; Forecasting; Factor analysis; Probit model; Sentiment variables (search for similar items in EconPapers)
JEL-codes: C22 C25 E32 E37 G17 (search for similar items in EconPapers)
Pages: 34
Date: 2013
New Economics Papers: this item is included in nep-bec, nep-for and nep-mac
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Forecasting US recessions: The role of sentiment (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2013-14

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