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Forecasting US Recessions

其他書名	The Role of Economic Uncertainty
出版	Banca d'Italia Eurosistema, 2020
URL	http://books.google.com.hk/books?id=iLEizgEACAAJ&hl=&source=gbs_api

註釋This paper highlights the role of macroeconomic and financial uncertainty in predicting US recessions. In-sample forecasts using probit models indicate that these two variables are the best predictors of recessions at short horizons. Macroeconomic uncertainty has the highest predictive power up to 7 months ahead and becomes the second best predictor -- after the yield curve slope -- at longer horizons. Using data up to end-2018, out-of-sample forecasts show that uncertainty contributed significantly to lowering the probability of a recession in 2019, which indeed did not occur.