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The R-word Index for Switzerland

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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.

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Bibliographic Info

Paper provided by KOF Swiss Economic Institute, ETH Zurich in its series KOF Working papers with number 12-304.

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Length: 16 pages
Date of creation: Jun 2012
Date of revision:
Handle: RePEc:kof:wpskof:12-304

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Keywords: Recession; nowcasting; real-time data; Switzerland;

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Cited by:
  1. David Iselin & Boriss Siliverstovs, 2013. "Using Newspapers for Tracking the Business Cycle: A comparative study for Germany and Switzerland," KOF Working papers 13-337, KOF Swiss Economic Institute, ETH Zurich.
  2. David Iselin & Boriss Siliverstovs, 2013. "Mit Zeitungen Konjunkturprognosen erstellen: Eine Vergleichsstudie für die Schweiz und Deutschland," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 7(3), pages 104-117, September.

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