Predicting the Probability of a Recession With Nonlinear Autoregressive Leading-indicator Models
Year: 2001
Type: article
Abstract: We develop nonlinear leading-indicator models for GDP growth, with the interest-rate spread and growth in M2 as leading indicators. Since policy makers typically are interested in whether a recession is imminent, we evaluate these models according to their ability to predict the probability of a recession. Using data for the United States, we find that conditional on the spread, the marginal contribution of M2 growth in predicting recessions is negligible.
Source: Macroeconomic Dynamics
Authors: Heather M. Anderson, Farshid Vahid
Institution: Monash University
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1919396752