Macroeconomic forecasting during the Great Recession: The return of non-linearity?

Laurent Ferrara, Massimiliano Marcellino and Matteo Mogliani

Working papers from Banque de France

Abstract: The debate on the forecasting ability in economics of non-linear models has a long history, and the Great Recession provides us with an opportunity for a re-assessment of the forecasting performance of several classes of non-linear models, widely used in applied macroeconomic research. In this paper, we carry out an extensive analysis over a large quarterly database consisting of major real, nominal and financial variables for a large panel of OECD member countries. It turns out that, on average, non-linear models do not outperform standard linear specifications, even during the Great Recession period. In spite of this result, non-linear models enable to improve forecast accuracy in almost 40% of cases. Especially some countries and/or variables appear to be more adapted to non-linear forecasting.

Keywords: Forecasting; Non-linear models; Great Recession. (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2012
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_383_2012.pdf (application/pdf)

Related works:
Journal Article: Macroeconomic forecasting during the Great Recession: The return of non-linearity? (2015)
Working Paper: Macroeconomic forecasting during the Great Recession: the return of non-linearity? (2015)
Working Paper: Macroeconomic forecasting during the Great Recession: The return of non-linearity? (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:383

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().