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dc.contributor.authorRavazzolo, Francesco
dc.contributor.authorRothman, Philip
dc.date.accessioned2015-11-24T13:06:48Z
dc.date.available2015-11-24T13:06:48Z
dc.date.issued2015
dc.identifier.issn1892-2198
dc.identifier.urihttp://hdl.handle.net/11250/2365472
dc.description.abstractWe carry out a pseudo out-of-sample density forecasting study for U.S. GDP with an autoregressive benchmark and alternatives to the benchmark than include both oil prices and stochastic volatility. The alternatives to the benchmark produce superior density forecasts. This comparative density performance appears to be driven more by stochastic volatility than by oil prices. We use our density forecasts to compute a recession risk indicator around the Great Recession. The alternative model that includes the real price of oil generates the earliest strong signal of a recession; but it also shows increased recession risk after the Great Recession.nb_NO
dc.language.isoengnb_NO
dc.publisherBI Norwegian Business Schoolnb_NO
dc.relation.ispartofseriesCAMP Working Papers Series;10/2015
dc.titleOil-Price Density Forecasts of U.S. GDPnb_NO
dc.typeWorking papernb_NO
dc.source.pagenumber22nb_NO
dc.source.issue10/2015nb_NO


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