Description
Title: Financial variables and temporal dependence in recession prediction
Abstract: I examine the significance of additional financial variables and temporal dependence for recession prediction, building on earlier research on recession forecasting with financial variables. The Treasury bill spread, default yield spread, stock return volatility, and temporal cubic terms, which take into account temporal dependence, are some of the additional financial variables that I demonstrate independently help to improve both in-sample and out-of-sample recession prediction. Additionally, I discover that, in comparison to their individual performances, additional financial variables and temporal cubic terms work in concert to improve the predictability of recessions, boost explanatory power, and lower prediction error.
Keywords: recession forecasting; financial variables; temporal dependence
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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