The R-word Index for Switzerland
AbstractIn 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 InfoPaper provided by KOF Swiss Economic Institute, ETH Zurich in its series KOF Working papers with number 12-304.
Length: 16 pages
Date of creation: Jun 2012
Date of revision:
Recession; nowcasting; real-time data; Switzerland;
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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- 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.
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