Forecasting US Recessions: The Role of Sentiment

Publikation: Bidrag til bog/antologi/rapport/proceedingBidrag til bog/antologiForskningpeer 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
TitelThe Economics of Recession
RedaktørerArturo Estrella
Vol/bind2
UdgivelsesstedCheltenham
ForlagEdward Elgar Publishing
Udgivelsesår2017
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ISBN (trykt)978 1 78643 424 1
StatusUdgivet - 2017
SerietitelThe International Library of Critical Writings in Economics series
Vol/bind337

Bibliografisk note

First published 2014 in Journal of Banking and Finance, 49, December, 459–68

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