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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Working Paper: The R-word Index for Switzerland (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:20:y:2013:i:11:p:1032-1035
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DOI: 10.1080/13504851.2013.772290
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