Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80824
Authors: 
Iselin, David
Siliverstovs, Boriss
Year of Publication: 
2012
Series/Report no.: 
KOF Working Papers, KOF Swiss Economic Institute, ETH Zurich 304
Abstract: 
In a pioneering attempt we present the R(ecession)-word index for Switzerland. We evaluate its predictive ability of GDP growth using real-time vintages of GDP data, closely simulating flow of information in the past. We find that inclusion of the R-word index led to statistically significant improvement in forecast accuracy over the benchmark autoregressive model. Largest improvements in forecast accuracy were observed in the period around the Great Recession.
Subjects: 
Recession
nowcasting
real-time data
Switzerland
JEL: 
C22
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
324.38 kB





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