The Role of Credit in Predicting US Recessions

被引：18

作者：

Ponka, Harri ^{[1
]}

机构：

[1] Univ Helsinki, Dept Polit & Econ Studies, Arkadiankatu 7,POB 17, FIN-00014 Helsinki, Finland

来源：

JOURNAL OF FORECASTING | 2017年 / 36卷 / 05期

关键词：

business cycle; credit spread; factor models; forecasting; probit models; FINANCIAL VARIABLES; ECONOMIC-ACTIVITY; PROBIT; PROBABILITY; LINKAGES; SPREADS;

D O I：

10.1002/for.2448

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the role of credit in forecasting US recession periods with probit models. We employ both classical recession predictors and common factors based on a large panel of financial and macroeconomic variables as control variables. Our findings suggest that a number of credit variables are useful predictors of US recessions over and above the control variables both in and out of sample. In particular, the excess bond premium, capturing the cyclical changes in the relationship between default risk and credit spreads, is found to be a powerful predictor of recession periods. Copyright (C) 2016 John Wiley & Sons, Ltd.

引用

页码：469 / 482

页数：14

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