A System for Dating and Detecting Turning Points in the Euro Area

Anas, Jacques; Billio, Monica; Ferrara, Laurent; Mazzi, Gian Luigi

doi:10.1111/j.1467-9957.2008.01076.x

Cited by 46 publications

(37 citation statements)

References 29 publications

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“…Our paper contributes to the vast number of papers that estimate and predict business cycle turning points (see e.g., Anas et al (2008), Darné andFerrara (2011) andBillio et al (2012) for applications to the euro area, Chauvet (1998), Chauvet and Piger (2008), Pagan (2002, 2006), Hamilton (2011) and Stock and Watson (2014) for applications to the US) by documenting that residential investment contains information over and above other typical leading indicators. We therefore corroborate and extend the findings in Leamer (2007Leamer ( , 2015 by showing that residential investment is important for predicting recessions also in a cross-country setting -especially in countries with a high home-ownership rate.…”

Section: St Louismentioning

confidence: 99%

Residential Investment and Recession Predictability

Aastveit¹,

Anundsen

Herstad

2017

SSRN Journal

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We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1-2014Q4. Our approach is to estimate various probit models with di↵erent leading indicators and evaluate their relative prediction accuracy using the receiver operating characteristic curve. We document that residential investment contains information useful in predicting recessions both in-sample and out-of-sample. This result is robust to adding typical leading indicators, such as the term spread, stock prices, consumer confidence surveys and oil prices. It is shown that residential investment is particularly useful in predicting recessions for countries with high home-ownership rates. Finally, in a separate exercise for the US economy, we show that the predictive ability of residential investment is robust to employing real-time data.

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Section: St Louismentioning

confidence: 99%

Residential Investment and Recession Predictability

Aastveit¹,

Anundsen

Herstad

2017

SSRN Journal

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“…, n. It is well known that combining probabilities of recession stemming from various models or variables can improve the accuracy of the results obtained from a single predictor. For example, in the framework of the building of probabilistic indicators of business cycles, Anas et al (2008) have developed recession indicators for real-time detection based on a weighted average of recession probabilities.…”

Section: Combining Probabilities Through Averagingmentioning

confidence: 99%

Forecasting euro area recessions by combining financial information

Bellégo

Ferrara

2017

IJCEE

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The last two macroeconomic recessions in the euro area in 2008-2009 and 2011-2013 have pointed out the impact of financial markets on economic activity. In this paper, we propose to evaluate the ability of a set of financial variables to forecast recessions in the euro area by using binary response models associated with information combination. For various forecast horizons, we provide a readable and leading signal of recession by combining information according to two combining schemes. First we average recession probabilities and second we linearly combine variables through a factor model in order to estimate an innovative Factor-Augmented probit model. Out-of-sample results over the periods 2007-2009 and 2011-2013 show that financial variables would have been helpful in giving accurate and timely recession signals in real-time.

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“…2 Following Krolzig (2000) and Anas et al (2008), we also investigate an MS model which assumes that both the intercept and the volatility are driven by a regime-switching variable. The results are qualitatively similar and available upon request.…”

Section: Markov Switchingmentioning

confidence: 99%