Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models

Oguzhan Cepni, Christina Christou () and Rangan Gupta
Additional contact information
Christina Christou: School of Economics and Management, Open University of Cyprus, 2252, Latsia, Cyprus

No 202252, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper utilizes Bayesian (static) model averaging (BMA) and dynamic model averaging (DMA) incorporated into Markov-switching (MS) models to forecast business cycle turning points of the United States (US) with state-level climate risks data, proxied by temperature changes and its (realized) volatility. We find that forecasts obtained from the DMA combination scheme provide timely updates of the US business cycles based on the information content of the metrics of state-level climate risks, particularly volatility of temperature, relative to the corresponding small-scale MS benchmarks that use national-level values of climate change-related predictors.

Keywords: Business fluctuations and cycles; Climate risks; Markov-switching models; Model averaging (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 E37 Q54 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2022-10
New Economics Papers: this item is included in nep-env and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Forecasting national recessions of the United States with state-level climate risks: Evidence from model averaging in Markov-switching models (2023)
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:pre:wpaper:202252

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().