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Global Prediction of Recessions

Dovern, Jonas ; Huber, Florian

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Abstract

We present evidence that global vectorautoregressive (GVAR) models produce significantly more accurate recession forecasts than country-specific time-series models in a Bayesian framework. This result holds for most countries and forecast horizons as well as for several country groups.

Item Type: Working paper
Series Name: Discussion Paper Series, University of Heidelberg, Department of Economics
Volume: dp585
Place of Publication: Heidelberg
Date Deposited: 17 Mar 2015 10:05
Date: March 2015
Number of Pages: 8
Faculties / Institutes: The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics
Subjects: 330 Economics
Uncontrolled Keywords: GVAR, recession forecast, QPS, probability forecast
Schriftenreihe ID: Discussion Paper Series / University of Heidelberg, Department of Economics
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