The Best Financial Indicators for Predicting a Recession Housing Starts

The Review of Economics and Statistics

journal commodity

Predicting U.South. Recessions: Fiscal Variables equally Leading Indicators

The Review of Economics and Statistics

Published By: The MIT Press

The Review of Economics and Statistics

https://www. jstor .org/stable/2646728

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Abstract

This paper examines the out-of-sample performance of diverse fiscal variables as predictors of U.Due south. recessions. Serial such equally interest rates and spreads, stock prices, and budgetary aggregates are evaluated individually and in comparing with other financial and nonfinancial indicators. The analysis focuses on out-of-sample functioning from one to eight quarters ahead. Results show that stock prices are useful with one- to iii-quarter horizons, as are some well-known macroeconomic indicators. Beyond ane quarter, nonetheless, the slope of the yield bend emerges every bit the clear individual choice and typically performs better by itself out of sample than in conjunction with other variables.

Journal Information

The Review of Economics and Statistics is an 84-twelvemonth old full general journal of practical (especially quantitative) economics. Edited at Harvard Academy's Kennedy School of Authorities, The Review has published some of the near of import articles in empirical economics. From time to fourth dimension, The Review also publishes collections of papers or symposia devoted to a single topic of methodological or empirical interest.

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Source: https://www.jstor.org/stable/2646728

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