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

Bouri E., Gupta R., Pierdzioch C., POLAT O.

Finance Research Letters, cilt.69, 2024 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 69
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1016/j.frl.2024.106179
  • Dergi Adı: Finance Research Letters
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Anahtar Kelimeler: AUC statistics, Forecasting, Recessions, Shrinkage estimators, Stock-market and oil-market moments
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Evet

Özet

Using 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.