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Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models
Heather M. Anderson and
Farshid Vahid ()
No 3/2000, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics
Abstract:
We develop nonlinear leading indicator models for GDP growth, with the interest rate spread and growth in M2 as leading indicators. Since policy makers are typically interested in whether or not a recession is imminent, we evaluate these models according to their ability to predict the probability of a recession. Using data for the United States, we find that conditional on the spread, the marginal contribution of M2 growth in predicting recessions is negligible.
Keywords: Event probabilities ; Leading Indicators ; Nonlinear Models (search for similar items in EconPapers)
JEL-codes: C22 C23 E17 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: Written
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Related works: Journal Article: PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS (2001) This item may be available elsewhere in EconPapers: Search for items with the same title.
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