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Forecasting US Recessions: The Role of Sentiments

Listed author(s):
  • Charlotte Christiansen

    ()

    (Aarhus University and CREATES)

  • Jonas Nygaard Eriksen

    ()

    (Aarhus University and CREATES)

  • Stig V. Møller

    ()

    (Aarhus University and CREATES)

We examine sentiment variables as new predictors for US recessions. We combine sentiment variables with either classical recession predictors or with common factors based on a large panel of macroeconomic and ?nancial variables. Sentiment variables hold vast predictive power for US recessions in excess of both the classical recession predictors and the common factors. The strong importance of the sentiment variables is documented both in-sample and out-of-sample.

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File URL: ftp://ftp.econ.au.dk/creates/rp/13/rp13_14.pdf
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Paper provided by Department of Economics and Business Economics, Aarhus University in its series CREATES Research Papers with number 2013-14.

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Length: 34
Date of creation: 04 2013
Handle: RePEc:aah:create:2013-14
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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