Stig Vinther Møller

Forecasting US Recessions: The Role of Sentiment

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

We study the role of sentiment variables as predictors for US recessions. We combine sentiment variables with either classical recession predictors or common factors based on a large panel of macroeconomic and financial 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.
OriginalsprogEngelsk
TidsskriftJournal of Banking & Finance
Vol/bind49
Sider (fra-til)459-468
Antal sider10
ISSN0378-4266
DOI
StatusUdgivet - 2014

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