Arbeitspapier
Forecasting Recessions in Real Time
We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of Norwegian Gross Domestic Product (GDP) as the business cycle indicator. The timing of business cycles depends on the vintage and the method used. BB provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with surveys or financial indicators, respectively, leads to the conclusion that the BB rule applied to density forecasts of GDP augmented with either the consumer confidence index or a financial conditions index provides the most timely predictions of peaks. For troughs, augmenting with surveys or financial indicators does not increase forecastability.
- Sprache
-
Englisch
- ISBN
-
978-82-7553-785-8
- Erschienen in
-
Series: Working Paper ; No. 2014/02
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Monetary Policy
- Thema
-
forecast densities
turning points
real-time data
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aastveit, Knut Are
Jore, Anne Sofie
Ravazzolo, Francesco
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Aastveit, Knut Are
- Jore, Anne Sofie
- Ravazzolo, Francesco
- Norges Bank
Entstanden
- 2014
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