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The R-word index for Switzerland

David Iselin and Boriss Siliverstovs

Applied Economics Letters, 2013, vol. 20, issue 11, 1032-1035

Abstract: In a pioneering attempt, we present the R(ecession)-word index for Switzerland. We evaluate its predictive ability of GDP growth using real-time vintages of GDP data, closely simulating flow of information in the past. We find that inclusion of the R-word index led to a statistically significant improvement in forecast accuracy over the benchmark autoregressive (AR) model. Largest improvements in forecast accuracy were observed in the period around the Great Recession.

Date: 2013
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Citations: View citations in EconPapers (13)

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DOI: 10.1080/13504851.2013.772290

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