Forecasting U.S. recessions using over 150 years of data : stock-market moments versus oil-market moments
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| dc.contributor.author | Bouri, Elie
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| dc.contributor.author | Gupta, Rangan
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| dc.contributor.author | Pierdzioch, Christian
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| dc.contributor.author | Polat, Onur
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| dc.date.accessioned | 2024-11-20T12:04:46Z | |
| dc.date.issued | 2024-11 | |
| dc.description | DATA AVAILABILITY : Data will be made available on request. | en_US |
| dc.description.abstract | Using monthly data from 1871 to 2024 and logistic models with shrinkage estimators, we compare the contribution of stock and oil-market moments (returns, volatility, skewness, and kurtosis) to the accuracy of out-of-sample forecasts of U.S. recessions at various forecast horizons, while controlling for standard macroeconomic predictors and the total connectedness indexes of the moments. Adding stock-market moments to the potential predictors improves significantly the accuracy of out-of-sample forecasts at an intermediate forecast horizon, where the lagged recession dummy, term spread, and stock returns are top predictors. Oil-market moments and connectedness indexes do not contribute much to forecast accuracy. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.embargo | 2026-10-03 | |
| dc.description.librarian | hj2024 | en_US |
| dc.description.sdg | SDG-08:Decent work and economic growth | en_US |
| dc.description.uri | https://www.elsevier.com/locate/frl | en_US |
| dc.identifier.citation | Bouri, E., Gupta, R., Pierdzioch, C. et al. 2024, 'Forecasting U.S. recessions using over 150 years of data: stock-market moments versus oil-market moments', Finance Research Letters, vol. 69, art. 106179, pp. 1-10, doi : 10.1016/j.frl.2024.106179. | en_US |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2024.106179 | |
| dc.identifier.uri | http://hdl.handle.net/2263/99199 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2024 Elsevier Inc. All rights are reserved, including those for text and data mining, AI training, and similar technologies. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 69, art. 106179, pp. 1-10, doi : 10.1016/j.frl.2024.106179. | en_US |
| dc.subject | Recessions | en_US |
| dc.subject | Stock-market moments | en_US |
| dc.subject | Oil-market moments | en_US |
| dc.subject | Forecasting | en_US |
| dc.subject | Shrinkage estimators | en_US |
| dc.subject | AUC statistics | en_US |
| dc.subject | SDG-08: Decent work and economic growth | en_US |
| dc.subject | United States (US) | en_US |
| dc.title | Forecasting U.S. recessions using over 150 years of data : stock-market moments versus oil-market moments | en_US |
| dc.type | Postprint Article | en_US |
