Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167789
Authors: 
Degiannakis, Stavros
Year of Publication: 
2015
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 3 [Year:] 2015 [Issue:] 3 [Pages:] 381-392
Abstract: 
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the state of the GDP growth. A contemporaneous, as well as a lagged, relationship between the explanatory variables and the state of the GDP growth is conducted. The mean absolute distance (MAD) between the probability of not being in recession and the probability estimated by the probit model is the function that evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as the explanatory variables has the lowest MAD value of 6.43% (7.94%) in the contemporaneous (lagged) relationship.
Subjects: 
GDP growth
industrial production
probability of recession
probit model
realized volatility
regime switching
JEL: 
E27
C22
C32
C40
C51
C53
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

Files in This Item:
File
Size
942.79 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.