Global prediction of recessions

- GVAR models produce more accurate recession forecasts than country-specific models.
- Overall, the accuracy of recession forecasts improves by 3.8% to 15.7%.
- Gains seem to be more pronounced for advanced economies.

We present evidence that global vectorautoregressive (GVAR) models produce more accurate recession forecasts than country-specific time-series models in a Bayesian framework. This result holds for most countries and forecast horizons as well as for several country groups.