Probit based time series models in recession forecasting : A survey with an empirical illustration for Finland

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dc.contributor Bank of Finland
dc.contributor.author Nissilä, Wilma
dc.date.accessioned 2020-08-11T06:46:25Z
dc.date.available 2020-08-11T06:46:25Z
dc.date.issued 2020
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/17542
dc.description.abstract This article surveys both earlier and recent research on recession forecasting with probit based time series models. Most studies use either a static probit model or its extensions in order to estimate the recession probabilities, while others use models based on a latent variable approach to account for nonlinearities. Many studies find that the term spread (i.e, the difference between long-term and short-term yields) is a useful predictor for recessions, but some recent studies also find that the ability of spread to predict recessions in the Euro Area has diminished over the years. Confidence indicators and financial variables such as stock returns seem to provide additional predictive power over the term spread. More sophisticated models outperform the basic static probit model in various studies. An empirical analysis made for Finland strengthens the findings of earlier studies. Consumer confidence is especially useful predictor of Finnish business cycle and the accuracy of the static single-predictor model can be improved by using multiple predictors and by allowing the dynamic extension.
dc.format.extent 48
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject mallit
dc.subject Suomi
dc.subject.other business cycles
dc.subject.other recession forecasting
dc.subject.other probit models
dc.title Probit based time series models in recession forecasting : A survey with an empirical illustration for Finland
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-202008112271
dc.series.name BoF Economics Review
dc.series.year 2020
dc.series.number 7/2020
dc.series.sortingnumber 0007
dc.date.publication 11.8.2020
dc.subject.yso taloudelliset ennusteet
dc.subject.yso suhdannevaihtelut
dc.subject.yso aikasarjat
dc.subject.yso indikaattorit
dc.subject.yso laskusuhdanne
dc.type.okm D4

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