Global prediction of recessions

Jonas Dovern and Florian Huber

Economics Letters, 2015, vol. 133, issue C, 81-84

Abstract: We present evidence that global vectorautoregressive (GVAR) models produce 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)
JEL-codes: C53 E17 E37 F41 F47 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Working Paper: Global Prediction of Recessions (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:133:y:2015:i:c:p:81-84

DOI: 10.1016/j.econlet.2015.05.022

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