Download or read book Predicting the U S Recessions with Housing Starts in Dynamic Probit Models written by Yan Cui and published by . This book was released on 2015 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: The crash of the U.S. housing market and the 2007-2009 recession that followed have reignited discussion about forecasting recessions. Most recessions have in fact been preceded by plummets in the housing industry in the U.S. history. The present study examines the predictive power of housing starts using dynamic probit models. The yield spread between the ten-year Treasury bond and three-month Treasury bill rates, is also adopted to further demonstrate the predictive properties of the housing variable. Different model functional forms are explored in which the lag structure, especially the growth rate term for housing starts, is constructed in an innovative way to serve the comparison purpose between the current study and previous literature. Instead of the month-to-month growth, the housing variable is constructed as the monthly growth rate over time. The major objective of the present study is to emphasize the notion that it is the sustained decline in housing starts, not a temporary drop, that serves better as a recession predictor. Another proposal of this study is the adoption of the growth rate in housing starts and the interest rate combination which is found superior than the individual specification. Both in-sample and out-of-sample analyses are carried out and iterated forecasting procedure is implemented. The Adjusted-Pseudo R 2 measure and the Diebold-Mariano statistics, are employed to examine and compare the predictive accuracy of models.

Download or read book Forecasting the Probability of US Recessions written by Zhihong Chen and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantifying the probability of U.S. recessions has become increasingly important since August 2007. In a data-rich environment, this paper is the first to apply a Probit model to common factors extracted from a large set of explanatory variables to model and forecast recession probability. The results show the advantages of the proposed approach over many existing models. Simulated real-time analysis captures all recessions since 1980. The proposed model also detects a significant jump in the next six-month recession probability based on data up to November 2007, one year before the formal declaration of the recent recession by the NBER. Quantifier la probabilit des rcessions amricaines est devenu de plus en plus important depuis aot 2007. Dans un environnement o linformation foisonne, ce texte est le premier appliquer la technique probit des facteurs communs extraits dun vaste ensemble de variables explicatives pour modliser et prdire la probabilit de rcession. Les rsultats montrent les avantages de lapproche utilise sur plusieurs des modles en vogue. Une analyse de simulation en temps rel saisit toutes les rcessions depuis 1980. Le modle propos dtecte aussi un saut significatif dans la probabilit de rcession dans les prochains six mois partir des donnes disponibles jusqu novembre 2007 un an avant que le NBER nannonce formellement le commencement de la rcente rcession.

Download or read book A New Way of Forecasting Recessions written by Edward E. Leamer and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new way of displaying and analyzing macroeconomic time series to form recession forecasts. The proposed data displays contain the last three years of each expansion. These allow observers to see for themselves what is different about the last year before recession. Based on a statistical model, the most recent data are then probabilistically inserted into these images where the recent data are most similar to the historical data. This amounts to a forecast. The traditional probit model used to forecast recessions inappropriately treats every observation as a separate experiment. This new method deals with these intra-correlation issues. The one variable that is causing a recession alarm is inflation. The unemployment rate is also alarming if the covid-19 data are omitted. The slope of the yield curve, the three-month Treasury yield, and housing starts are all two or three years from the end of the expansion. A probit model that conducts a "horse race" among these five variables reveals it is the bond market variables that best predict recessions. This leaves the Fed under control, but the 1970s data suggests it takes a recession to combat high inflation.

Download or read book Do Leading Indicators Forecast U S Recessions A Nonlinear Re Evaluation Using Historical Data written by Vasilios Plakandaras and published by . This book was released on 2019 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses to what extent a selection of leading indicators is able to forecast U.S. recessions, by means of both dynamic probit models and Support Vector Machine (SVM) models, using monthly data from January 1871 to June 2016. The results suggest that the probit models predict U.S. recession periods more accurately than SVM models up to six months ahead, while the SVM models are more accurate over longer horizons. Furthermore, SVM models appear to distinguish between recessions and tranquil periods better than probit models do. Finally, the most accurate forecasting models are those that include oil, stock returns and the term spread as leading indicators.

Download or read book Recession Forecasting with Dynamic Probit Models Under Real Time Conditions written by Christian R. Proano and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Yield curve Based Probit Models for Forecasting U S Recessions written by Heikki Kauppi and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Yield curve Based Probit Models for Forecasting US Recession written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Predicting a Recession written by Marcelle Chauvet and published by . This book was released on 2001 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Predictive Power of Yield Curve in Forecasting U S Recessions written by Hardeep Bamara and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the last recession in 2001, the U.S. economy has continued to grow; yet speculation of a recession has surfaced on the basis of the yield curve flattening. Yield curve inversion has been strongly associated with U.S. recessions over the last forty-six years. This paper examines the predictive power of the yield curve, the index of leading indicators, monetary growth and stock returns in forecasting U.S. recessions. A probit model is used to generate recession probability forecasts three, six, nine and twelve months forward. Empirical results show that the yield curve embodies the highest degree of explanatory power beyond a three-month forecast horizon. Results for the last two recessions are analyzed as well as forecasts going forward into 2006. As a final observation, an asset allocation trading strategy is tested out-of-sample.

Download or read book Forecasting Three month ahead Recession Probabilities for the United States written by Pinar Calis and published by . This book was released on 2011 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies eight financial variables' ability to forecast recession probabilities in the subsequent three months. These variables are the term spread, median home prices, consumer credit, real estate loans, Dow Jones index close, Dow Jones index return, S&P500 index close and S&P500 index returns. Various one to six variable probit models are formed and analyzed. Plausible combinations of the best in-sample and out-of-sample performing individual probit models are used to form combination forecasts. In fact, these combination forecasts improve forecast performance over individual probit models. Stock market indicators and median home prices emerge as accurate predictors of U.S. recessions in the subsequent three months. Indeed, the combined forecast formed using the multivariate median home prices and S&P500 close model and bivariate S&P500 returns model predicted all of the recessionary periods and nearly half of all the NBER designated recession months correctly.

Download or read book Predicting National and Regional Recessions Using Probit Modeling and Interest Rate Spreads written by Gary Shoesmith and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study extends the work of Estrella and Mishkin (1996, 1998) to show that interest-rate spreads and probit modeling can be used to predict recessions in many states as well as the nation. State recessions are defined as two or more consecutive quarters of declining real gross state product. The yield spread, SPREAD, is defined as the difference between the 10-year Treasury bond rate and the three-month Treasury bill rate. The national results are similar to those obtained by Estrella and Mishkin. Probit models are estimated for all 50 states using SPREAD and unemployment insurance claims, UI, as alternative explanatory variables. For 34 of the 50 states, SPREAD is significant at the 0.01 level as a predictor of state recessions. Much weaker results are obtained using UI. Simulations for the 1979-2001 period are used to compute loss functions for the national and state models at probability screens of 30, 40, 50, and 60 percent. The results demonstrate that probit models based on can be useful in improving business and policy decisions in many states.

Download or read book The Yield Curve s Predictive Power on U S Recessions written by John William Lahman and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A negative-sloped Treasury curve is often cited in financial news articles and by Federal Reserve economists as a predictor of recessions. This report reviews previously published research examining the reliability of yield curves predicting recessions. Findings show that the yield curve inverts two or more quarters before recessions, with short-term interest rates rising above long-term interest rates. Probit regression has proven a reliable method for generating estimated probabilities of future recessions that, in turn, are useful for both monetary policy and asset allocation decision-making.

Download or read book Alternative Economic Indicators written by C. James Hueng and published by W.E. Upjohn Institute. This book was released on 2020-09-08 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.

Download or read book Economic and Business Forecasting written by John E. Silvia and published by John Wiley & Sons. This book was released on 2014-03-10 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover the secrets to applying simple econometric techniques to improve forecasting Equipping analysts, practitioners, and graduate students with a statistical framework to make effective decisions based on the application of simple economic and statistical methods, Economic and Business Forecasting offers a comprehensive and practical approach to quantifying and accurate forecasting of key variables. Using simple econometric techniques, author John E. Silvia focuses on a select set of major economic and financial variables, revealing how to optimally use statistical software as a template to apply to your own variables of interest. Presents the economic and financial variables that offer unique insights into economic performance Highlights the econometric techniques that can be used to characterize variables Explores the application of SAS software, complete with simple explanations of SAS-code and output Identifies key econometric issues with practical solutions to those problems Presenting the "ten commandments" for economic and business forecasting, this book provides you with a practical forecasting framework you can use for important everyday business applications.

Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.

Download or read book Global Waves of Debt written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2021-03-03 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Download or read book Housing Finance and Real Estate Booms written by Mr.Eugenio Cerutti and published by International Monetary Fund. This book was released on 2015-06-03 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global crisis highlighted the risks stemming from real estate booms. This has generated a growing literature trying to better understand the sources and the risks associated with housing and credit booms. This paper complements and supplements the previous work by (i) exploiting more disaggregated data on credit allowing us to dissociate between firm-credit and household (and in some cases mortgage) credit, and (ii) by taking into account the characteristics of the mortgage market, including institutional as well as other factors that vary across countries. This detailed cross-country analysis offers new valuable insights.