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- W2023352942 abstract "Abstract The Bayesian VAR model provides a convenient tool for generating predictive densities and making probability statements regarding the future development of economic variables. This paper investigates the usefulness of standard macroeconomic Bayesian VAR models to estimate the probability of a US recession. Defining a recession as two quarters in a row of negative GDP growth, the probability is estimated for two quarters of the most recent US recession, namely 2008Q3–2008Q4. In contrast to judgemental probabilities from this point in time, it is found that the BVAR assigns a very low probability to such an event. This is true also when survey data, which generally are considered as good leading indicators, are included in the models. We conclude that while Bayesian VAR models are good forecasting tools in many cases, the results in this paper raise question marks regarding their usefulness for predicting recessions." @default.
- W2023352942 created "2016-06-24" @default.
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- W2023352942 date "2012-03-01" @default.
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- W2023352942 title "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession" @default.
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- W2023352942 doi "https://doi.org/10.1016/j.jmacro.2011.10.002" @default.
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