Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models

Revista Brasileira de Economia

关键词: Recession;    Forecasts;    Receiver Operating Characteristic (ROC);   

DOI  :  10.5935/0034-7140.20160017

来源: DOAJ

【 摘 要 】

We examine the usefulness of various financial and real sector variables to forecast recessions in Brazil between one and eight quarters ahead. We estimate probabilistic models of recession and select models based on their outof-sample forecasts, using the Receiver Operating Characteristic (ROC) function. We find that the predictive out-of-sample ability of several models vary depending on the numbers of quarters ahead to forecast and on the number of regressors used in the model specification. The models selected seem to be relevant to give early warnings of recessions in Brazil.

【 授权许可】

Unknown