Department of Economics and Business Economics

Forecasting US Recessions: The Role of Sentiment

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-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.
Original languageEnglish
JournalJournal of Banking & Finance
Volume49
Pages (from-to)459-468
Number of pages10
ISSN0378-4266
DOIs
Publication statusPublished - 2014

Bibliographical note

Campus adgang til artiklen / Campus access to the article

    Research areas

  • Business cycles, Forecasting, Factor analysis, Probit model, Sentiment variables

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