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Predicting cycles in economic activity

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  • Jane Haltmaier
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    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.

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    File URL: http://www.federalreserve.gov/pubs/ifdp/2008/926/default.htm
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    File URL: http://www.federalreserve.gov/pubs/ifdp/2008/926/ifdp926.pdf
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    Bibliographic Info

    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 926.

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    Date of creation: 2008
    Date of revision:
    Handle: RePEc:fip:fedgif:926

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    Related research

    Keywords: Business cycles ; Business forecasting;

    This paper has been announced in the following NEP Reports:

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    1. Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank.
    2. Fratzscher, Marcel & Matthieu Bussiere, 2003. "Towards A New Early Warning System of Financial Crises," Royal Economic Society Annual Conference 2003 81, Royal Economic Society.
    3. Hali J. Edison, 2003. "Do indicators of financial crises work? An evaluation of an early warning system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 11-53.
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    Cited by:
    1. Marco Buchmann, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.

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