The R-word Index for Switzerland

David Iselin and Boriss Siliverstovs

No 12-304, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: In this study we construct the R(ecession)-word index for Switzerland. To the best of our knowledge, this has never been done before. We evaluate the extent to which the inclusion of the index contributes to more accurate forecasts of GDP growth compared with a benchmark autoregressive model. We perform our forecasting exercise using real-time vintages of GDP data, closely simulating flow of information in the past. We find that inclusion of the R-word index led to statistically significant improvement in forecast accuracy over the benchmark model. Largest improvements in forecast accuracy were observed in the period around the Great Recession.

Keywords: Recession; Nowcasting; Real-time data; Switzerland (search for similar items in EconPapers)
Pages: 16 pages
Date: 2012-06
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The R-word index for Switzerland (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:kof:wpskof:12-304

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