Forecasting U.S. recessions using over 150 years of data : stock-market moments versus oil-market moments

dc.contributor.authorBouri, Elie
dc.contributor.authorGupta, Rangan
dc.contributor.authorPierdzioch, Christian
dc.contributor.authorPolat, Onur
dc.contributor.emailrangan.gupta@up.ac.zaen_US
dc.date.accessioned2024-11-20T12:04:46Z
dc.date.issued2024-11
dc.descriptionDATA AVAILABILITY : Data will be made available on request.en_US
dc.description.abstractUsing 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.departmentEconomicsen_US
dc.description.embargo2026-10-03
dc.description.librarianhj2024en_US
dc.description.sdgSDG-08:Decent work and economic growthen_US
dc.description.urihttps://www.elsevier.com/locate/frlen_US
dc.identifier.citationBouri, 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.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2024.106179
dc.identifier.urihttp://hdl.handle.net/2263/99199
dc.language.isoenen_US
dc.publisherElsevieren_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.subjectRecessionsen_US
dc.subjectStock-market momentsen_US
dc.subjectOil-market momentsen_US
dc.subjectForecastingen_US
dc.subjectShrinkage estimatorsen_US
dc.subjectAUC statisticsen_US
dc.subjectSDG-08: Decent work and economic growthen_US
dc.subjectUnited States (US)en_US
dc.titleForecasting U.S. recessions using over 150 years of data : stock-market moments versus oil-market momentsen_US
dc.typePostprint Articleen_US

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