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dc.contributor.authorAastveit, Knut Are
dc.contributor.authorAnundsen, Andr K.
dc.contributor.authorHerstad, Eyo I.
dc.date.accessioned2018-01-04T10:56:50Z
dc.date.available2018-01-04T10:56:50Z
dc.date.issued2017-12
dc.identifier.issn1892-2198
dc.identifier.urihttp://hdl.handle.net/11250/2475573
dc.description.abstractWe 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.nb_NO
dc.language.isoengnb_NO
dc.publisherBI Norwegian Business School, Centre for Applied Macro- and Petroleum Economicsnb_NO
dc.relation.ispartofseriesCAMP Working Paper Series;8
dc.subjectRecession predictabilitynb_NO
dc.subjectHousingnb_NO
dc.subjectLeading indicatorsnb_NO
dc.subjectReal-time datanb_NO
dc.titleResidential investment and recession predictabilitynb_NO
dc.typeWorking papernb_NO
dc.source.pagenumber31nb_NO


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