Predicting cycles in economic activity

Jane Haltmaier

No 926, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Predicting cycles in economic activity is one of the more challenging but important aspects of economic forecasting. This paper reports the results from estimation of binary probit models that predict the probability of an economy being in a recession using a variety of financial and real activity indicators. The models are estimated for eight countries, both individually and using a panel regression. Although the success of the models varies, they are all able to identify a significant number of recessionary periods correctly.

Keywords: Business cycles; Business forecasting (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-for, nep-mac and nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:926

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