The R-word index for Switzerland
ISELIN, David
The R-word index for Switzerland - Applied Economics Letters Volume , number , .
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 a statistically significant improvement in forecast accuracy over the benchmark autoregressive (AR) model. Largest improvements in forecast accuracy were observed in the period around the Great Recession.
recession
now casting
real time data
The R-word index for Switzerland - Applied Economics Letters Volume , number , .
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 a statistically significant improvement in forecast accuracy over the benchmark autoregressive (AR) model. Largest improvements in forecast accuracy were observed in the period around the Great Recession.
recession
now casting
real time data