Predictable Recoveries

Xiaoming Cai (), Wouter Den Haan () and Jonathan Pinder ()
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Xiaoming Cai: Tongji University
Wouter Den Haan: London School of Economics
Jonathan Pinder: London School of Economics
Authors registered in the RePEc Author Service: Wouter Denhaan ()

No 1520, Discussion Papers from Centre for Macroeconomics (CFM)

Abstract: Should an unexpected change in real GMP of x% lead to an x% change in the forecasts of future GNP? The answer could be no even if GNP is a random walk. We show that US economic downturns often go together with changes in long-term GNP forecasts that are substantially smaller than the initial drop. But not always! Essential for our results is that GNP forecasts are not based on a univariate time series model, which is not uncommon. Our alternative forecasts are based on a simple multivariate representation of GNP's expenditure components.

Keywords: Forecasting; Unit Root; Business Cycles (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2015-08
New Economics Papers: this item is included in nep-for and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:cfm:wpaper:1520

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