Evaluating the OECD’s main economic indicators at anticipating recessions*,Journal of Forecasting

当前位置： X-MOL 学术 › J. Forecast. › 论文详情

Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)

Evaluating the OECD’s main economic indicators at anticipating recessions*
Journal of Forecasting ( IF 2.627 ) Pub Date : 2020-05-31 , DOI: 10.1002/for.2709
Máximo Camacho ₁ , Gonzalo Palmieri ₁

Affiliation

Using receiver operating characteristic (ROC) techniques, we evaluate the predictive content of the monthly main economic indicators (MEI) of the Organization for Economic Co‐operation and Development (OECD) for predicting both growth cycle and business cycle recessions at different horizons. From a sample that covers 123 indicators for 32 OECD countries as well as for Brazil, China, India, Indonesia, the Russian Federation, and South Africa, our results suggest that the OECD's MEI show a high overall performance in providing early signals of economic downturns worldwide, albeit they perform a bit better at anticipating business cycles than growth cycles. Although the performance for OECD and non‐OECD members is similar in terms of timeliness, the indicators are more accurate at anticipating recessions for OECD members. Finally, we find that some single indicators, such as interest rates, spreads, and credit indicators, perform even better than the composite leading indicators.

更新日期：2020-05-31

点击分享查看原文

点击收藏

阅读更多本刊最新论文

全部期刊列表>>