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Forecasting US recessions with various risk factors and dynamic probit models · Study

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ArticleForecasting US recessions with various risk factors and dynamic probit models

Eric C.Y. Ng2011

Article2011

Forecasting US recessions with various risk factors and dynamic probit models

73 citations·0/0 files stored·Journal of Macroeconomics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Unemployment and Economic Growth

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991The Term Structure as a Predictor of Real Economic Activity 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators 1991Financial Investment Opportunities and the Macroeconomy 1988The real term structure and consumption growth 1990What does the term structure tell us about future inflation?1989Scoring the Leading Indicators 2003How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States

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2020Forecasting recessions: the importance of the financial cycle 2014A financial early warning logit model and its efficiency verification approach 2017The Role of Credit in Predicting US Recessions 2022Does the yield curve signal recessions? New evidence from an international panel data analysis

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2011Predicting Canadian recessions using dynamic probit modelling approachesarticle · 16 shared references 2008The Yield Curve as a Leading Indicator: Frequently Asked Questionsarticle · 13 shared references 2012The yield curve and the macro-economy across time and frequenciesarticle · 10 shared references 2013A BIVARIATE AUTOREGRESSIVE PROBIT MODEL: BUSINESS CYCLE LINKAGES AND TRANSMISSION OF RECESSION PROBABILITIESarticle · 10 shared references 2009Dynamic probit models and financial variables in recession forecastingarticle · 9 shared references 2009Forecasting Euro-Area Recessions Using Time-Varying Binary Response Models for Financial Marketspreprint · 9 shared references

Details

Year2011

Typearticle

Published2011-12-07

VenueJournal of Macroeconomics

ISSN-L0164-0704

Languageen

Citations73

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jmacro.2011.11.001

openalex_workW2011620063

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