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dc.contributor.author | Balcilar, Mehmet![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Segnon, Mawuli K.![]() |
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dc.date.accessioned | 2016-12-01T08:39:30Z | |
dc.date.available | 2016-12-01T08:39:30Z | |
dc.date.issued | 2016-11 | |
dc.description.abstract | This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and out-of-sample forecasting performances to those of a Markov-switching vector autoregressive model (MS-VAR, where the EPU is averaged over the months to produce quarterly values) and a Markov-switching autoregressive (MS-AR) model. Their results show that the MF-MS-VAR fits the different recession regimes, and provides out-of-sample forecasts of recession probabilities which are more accurate than those derived from the MS-VAR and MS-AR models. The results highlight the importance of using high-frequency values of the EPU, and not averaging them to obtain quarterly values, when forecasting recessionary regimes for the U.S. economy. | en_ZA |
dc.description.department | Economics | en_ZA |
dc.description.librarian | am2016 | en_ZA |
dc.description.uri | http://www.economics-ejournal.org | en_ZA |
dc.identifier.citation | Mehmet Balcilar, Rangan Gupta, and Mawuli Segnon (2016). The Role of Economic Policy Uncertainty in Predicting U.S. Recessions: A Mixed-frequency Markov-switching Vector Autoregressive Approach. Economics: The Open-Access, Open-Assessment E-Journal, 10 (2016-27): 1—20. http://dx.doi.org/10.5018/economics-ejournal.ja.2016-27. | en_ZA |
dc.identifier.other | 1864-6042 | |
dc.identifier.other | 10.5018/economics-ejournal.ja.2016-27 | |
dc.identifier.uri | http://hdl.handle.net/2263/58329 | |
dc.language.iso | en | en_ZA |
dc.publisher | Kiel Institute for the World Economy | en_ZA |
dc.rights | © Author(s) 2016. Licensed under the Creative Commons License - Attribution 4.0 International (CC BY 4.0). | en_ZA |
dc.subject | Business cycles | en_ZA |
dc.subject | Mixed frequency | en_ZA |
dc.subject | Markov-switching VAR models | en_ZA |
dc.subject | Economic policy uncertainty (EPU) | en_ZA |
dc.subject | Mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model | en_ZA |
dc.title | The role of economic policy uncertainty in predicting US recessions : a mixed-frequency markov-switching vector autoregressive approach | en_ZA |
dc.type | Article | en_ZA |