• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Residential investment and recession predictability

Aastveit, Knut Are; Anundsen, Andr K.; Herstad, Eyo I.
Working paper
Thumbnail
Åpne
WP_CAMP_8_2017.pdf (1.344Mb)
Permanent lenke
http://hdl.handle.net/11250/2475573
Utgivelsesdato
2017-12
Metadata
Vis full innførsel
Samlinger
  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Sammendrag
We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1–2014Q4. Our approach is to estimate various probit models with di↵erent leading indicators and evaluate their relative prediction accuracy using the receiver operating charac- teristic curve. We document that residential investment contains information useful in predicting recessions both in-sample and out-of-sample. This result is robust to adding typical leading indicators, such as the term spread, stock prices, consumer confidence surveys and oil prices. It is shown that residential investment is partic- ularly useful in predicting recessions for countries with high home-ownership rates. Finally, in a separate exercise for the US economy, we show that the predictive ability of residential investment is robust to employing real-time data.
Utgiver
BI Norwegian Business School, Centre for Applied Macro- and Petroleum Economics
Serie
CAMP Working Paper Series;8

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit