Related papers: Has the Recession Started?
Okun's law for the biggest developed countries is re-estimated using the most recent data on real GDP per capita and the rate of unemployment. Our results show that the change in unemployment rate can be predicted with a high accuracy. The…
Monitoring economic conditions and financial stability with an early warning system serves as a prevention mechanism for unexpected economic events. In this paper, we investigate the statistical performance of sequential break-point…
The evolution of the rate of price inflation and unemployment in Japan has been modeled within the Phillips curve framework. As an extension to the Phillips curve, we represent both variables as linear functions of the change rate of labor…
Big data generated from the Internet offer great potential for predictive analysis. Here we focus on using online users' Internet search data to forecast unemployment initial claims weeks into the future, which provides timely insights into…
To understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies, we define an algorithm for measuring sentiment-based network risk. The algorithm ranks companies…
Macroeconomic theories of growth and wealth distribution have an outsized influence on national and international social and economic policies. Yet, due to a relative lack of reliable, system wide data, many such theories remain, at best,…
The American economy can be thought of as a highly connected random network in terms of both its technological and informational connections. The cumulative size of economic recessions, the fall in output from peak to trough, is analysed…
Recessions are periods in which the least productive firms in the economy exit, and as the economy recovers, they are replaced by new and more productive entrants. These cleansing effects improve the average firm productivity. At the same…
We re-estimate statistical properties and predictive power of a set of Phillips curves, which are expressed as linear and lagged relationships between the rates of inflation, unemployment, and change in labour force. For France, several…
This paper presents a novel approach to distinguish the impact of duration-dependent forces and adverse selection on the exit rate from unemployment by leveraging variation in the length of layoff notices. I formulate a Mixed Hazard model…
We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be…
We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this…
In this research paper, I have performed time series analysis and forecasted the monthly value of housing starts for the year 2019 using several econometric methods - ARIMA(X), VARX, (G)ARCH and machine learning algorithms - artificial…
'Animal spirits' or confidence levels are heavily dependent on how current conditions compare to adaptation levels. In the US, with its highly flexible labor markets and weak safety nets, the unemployment rate seems to serve as a…
I examine global recessions as a cascade phenomenon. In other words, how recessions arising in one or more countries might percolate across a network of connected economies. A heterogeneous agent based model is set up in which the agents…
Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their temporal dynamics. The framework is then used to make…
Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…
We develop a deep learning model of multi-period mortgage risk and use it to analyze an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our…
This study explores the interdependent relationship between consumer credit and consumer confidence in the United States using monthly data from January 1978 to August 2024. Utilizing a Vector Error Correction Model (VECM), the analysis…
An empirical model is presented linking inflation and unemployment rate to the change in the level of labour force in Switzerland. The involved variables are found to be cointegrated and we estimate lagged linear deterministic relationships…