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Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 10 [Issue:] 2016-27 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2016 [Pages:] 1-20
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and out-of-sample forecasting performances to those of a Markov-switching vector autoregressive model (MS-VAR, where the EPU is averaged over the months to produce quarterly values) and a Markov-switching autoregressive (MS-AR) model. Their results show that the MF-MS-VAR fits the different recession regimes, and provides out-of-sample forecasts of recession probabilities which are more accurate than those derived from the MS-VAR and MS-AR models. The results highlight the importance of using high-frequency values of the EPU, and not averaging them to obtain quarterly values, when forecasting recessionary regimes for the U.S. economy.
Schlagwörter: 
Business cycles
economic policy uncertainty
mixed frequency
Markovswitching VAR models
JEL: 
E32
E37
C32
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