Predicting recession probabilities with financial variables over multiple horizons

Fabio Fornari () and Wolfgang Lemke

No 1255, Working Paper Series from European Central Bank

Abstract: We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a JEL Classification: C25, C32, E32, E37

Keywords: forecasting; Probit; recessions; VAR (search for similar items in EconPapers)
Date: 2010-10
New Economics Papers: this item is included in nep-bec, nep-cba, nep-ecm, nep-eec, nep-for and nep-rmg
Note: 495651
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20101255

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