Predicting Ordinary And Severe Recessions With A Three State Markov Switching Dynamic Factor Model
Download and Read Predicting Ordinary And Severe Recessions With A Three State Markov Switching Dynamic Factor Model full books in PDF, ePUB, and Kindle. Read online free Predicting Ordinary And Severe Recessions With A Three State Markov Switching Dynamic Factor Model ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Predicting Ordinary and Severe Recessions with a Three-state Markov-switching Dynamic Factor Model
Author | : Kai Carstensen |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Predicting Ordinary and Severe Recessions with a Three-state Markov-switching Dynamic Factor Model Book in PDF, Epub and Kindle
We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show that a two-state model is not sensitive enough to reliably detect relatively mild recessions when the Great Recession of 2008/2009 is included in the sample. Adding a third state helps to clearly distinguish normal and severe recessions, so that the model identifies reliably all business cycle turning points in our sample. In a real-time exercise the model detects recessions timely. Combining the estimated factor and the recession probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1 and a correct prediction of the timing of the Great Recession and its recovery one quarter in advance.
Predicting Ordinary and Severe Recessions with a Three-state Markov-switching Dynamic Factor Model Related Books
Pages:
Pages: 43
Pages: 267
Pages: 220
Pages: 54