Global Prediction of Recessions

Jonas Dovern and Florian Huber

No 585, Working Papers from University of Heidelberg, Department of Economics

Abstract: We present evidence that global vectorautoregressive (GVAR) models produce significantly more accurate recession forecasts than country-specific time-series models in a Bayesian framework. This result holds for most countries and forecast horizons as well as for several country groups.

Keywords: GVAR; recession forecast; QPS; probability forecast (search for similar items in EconPapers)
Date: 2015-03-17
New Economics Papers: this item is included in nep-for and nep-mac
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Journal Article: Global prediction of recessions (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:awi:wpaper:0585

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