
Open access
Date
2012-06Type
- Working Paper
ETH Bibliography
yes
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Abstract
In this study we construct the R(ecession)-word index for Switzerland. To the best of our knowledge, this has never been done before. We evaluate the extent to which the inclusion of the index contributes to more accurate forecasts of GDP growth compared with a benchmark autoregressive model. We perform our forecasting exercise 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 model. Largest improvements in forecast accuracy were observed in the period around the Great Recession. Show more
Permanent link
https://doi.org/10.3929/ethz-a-007319025Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
Real-time data; GROSS NATIONAL PRODUCT; ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH); REZESSION (WIRTSCHAFT, GELD UND WÄHRUNG); Nowcasting; Switzerland; FORECASTING BASED ON STATISTICS (MATHEMATICAL STATISTICS); BRUTTONATIONALEINKOMMEN; SCHWEIZ (MITTELEUROPA). SCHWEIZERISCHE EIDGENOSSENSCHAFT; RECESSION (ECONOMY, MONEY AND CURRENCY); SWITZERLAND (CENTRAL EUROPE). SWISS CONFEDERATION; ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH); PROGNOSEN AUF STATISTISCHER BASIS (MATHEMATISCHE STATISTIK); ECONOMIC GROWTH; WIRTSCHAFTSWACHSTUM; RecessionOrganisational unit
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
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ETH Bibliography
yes
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