Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5088894 | Journal of Banking & Finance | 2014 | 10 Pages |
Abstract
We study the role of sentiment variables as predictors for US recessions. We combine sentiment variables with either classical recession predictors or common factors based on a large panel of macroeconomic and financial variables. Sentiment variables hold vast predictive power for US recessions in excess of both the classical recession predictors and the common factors. The strong importance of the sentiment variables is documented both in-sample and out-of-sample.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Charlotte Christiansen, Jonas Nygaard Eriksen, Stig Vinther Møller,