Forecasting US Recessions: The Role of Sentiment

TY - JOUR

T1 - Forecasting US Recessions

T2 - The Role of Sentiment

AU - Christiansen, Charlotte

AU - Eriksen, Jonas Nygaard

AU - Møller, Stig Vinther

N1 - Campus adgang til artiklen / Campus access to the article

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - Business cycles

KW - Forecasting

KW - Factor analysis

KW - Probit model

KW - Sentiment variables

U2 - 10.1016/j.jbankfin.2014.06.017

DO - 10.1016/j.jbankfin.2014.06.017

M3 - Journal article

SN - 0378-4266

VL - 49

SP - 459

EP - 468

JO - Journal of Banking & Finance

JF - Journal of Banking & Finance

ER -