dc.contributor.author |
Pierdzioch, Christian
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2021-11-16T10:18:27Z |
|
dc.date.available |
2021-11-16T10:18:27Z |
|
dc.date.issued |
2020-09 |
|
dc.description.abstract |
We estimate Boosted Regression Trees (BRT) on a sample of monthly data that extends back to 1889 to recover the predictive value of disaggregated news-based uncertainty indexes for U.S recessions. We control for widely-studied standard predictors and use out-of-sample metrics to assess forecast performance. We find that war-related uncertainty is among the top five predictors of recessions at three different forecast horizons (3, 6, and 12 months). The predictive value of war-related uncertainty has fallen in the second half of the 20th century. Uncertainty regarding the state of securities markets has gained in relative importance. The probability of a recession is a nonlinear function of war-related and securities-markets uncertainty. Receiver-operating characteristic curves show that uncertainty improves out-of-sample forecast performance at the longer forecast horizons. A dynamic version of the BRT approach sheds light on the importance of various lags of government-related uncertainty for recession forecasting at the long forecast horizon. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
am2021 |
en_ZA |
dc.description.sponsorship |
Deutsche Forschungsgemeinschaft |
en_ZA |
dc.description.uri |
http://www.degruyter.com/view/j/snde |
en_ZA |
dc.identifier.citation |
Pierdzioch, C. & Gupta, R. 2020, 'Uncertainty and forecasts of U.S. recessions', Studies in Nonlinear Dynamics and Econometrics, vol. 24, no. 4, pp. 1-21. |
en_ZA |
dc.identifier.issn |
1081-1826 (print) |
|
dc.identifier.issn |
1558-3708 (online) |
|
dc.identifier.other |
10.1515/snde-2018-0083 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/82707 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
De Gruyter |
en_ZA |
dc.rights |
© 2020 Walter de Gruyter GmbH, Berlin/Boston |
en_ZA |
dc.subject |
Forecasting |
en_ZA |
dc.subject |
Recessions |
en_ZA |
dc.subject |
ROC curves |
en_ZA |
dc.subject |
Uncertainty |
en_ZA |
dc.subject |
Boosted regression trees (BRT) |
en_ZA |
dc.subject |
Receiver-operating characteristic (ROC) |
en_ZA |
dc.title |
Uncertainty and forecasts of U.S. recessions |
en_ZA |
dc.type |
Article |
en_ZA |