Related papers: Has the Recession Started?
The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting…
We test the international applicability of Friedman s famous plucking theory of the business cycle in 12 advanced economies between 1970 and 2021. We find that in countries where labour markets are flexible (Australia, Canada, United…
A linear link between S&P 500 return and the change rate of the number of nine-year-olds in the USA has been found. The return is represented by a sum of monthly returns during previous twelve months. The change rate of the specific age…
Monthly disaggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when controlling for household personal characteristics, perceptions…
Although there are now some tentative signs that the start of cycle 24 has begun there is still considerable interest in the somewhat unusual behaviour of the current solar minimum and the apparent delay in the true start of the next cycle.…
The COVID-19 recession threatens mass housing insecurity that undermines economic recovery. Unprecedented federal policy responses halt court-ordered evictions, but questions remain whether policies adequately account for dynamics that…
We characterize decreasing impatience, a common behavioral phenomenon in intertemporal choice. Discount factors that display decreasing impatience are characterized through a convexit y axiom for investments at fixed interest rates. Then we…
Predicting stock price movements is a pivotal element of investment strategy, providing insights into potential trends and market volatility. This study specifically examines the predictive capacity of historical stock prices and technical…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
Sprawl, according to Glaeser and Kahn, is the 21st century phenomenon that some people are not dependent on city-living due to automobiles and therefore can live outside public transportation spheres and cities. This is usually seen as…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
Prediction markets are widely treated as forecasting devices that reveal collective expectations about uncertain futures. This article argues that under specifiable conditions they also function as coordination mechanisms: public…
The standard wage Phillips curve aggregates away from which workers reset wages when. I show this aggregation omits a first-order term: the covariance between workers' cost-push exposure and their reset frequency. I introduce two sufficient…
We study the impacts of business cycles on machine learning (ML) predictions. Using the S&P 500 index, we find that ML models perform worse during most recessions, and the inclusion of recession history or the risk-free rate does not…
A standard growth model is modified in a straightforward way to incorporate what Keynes (1936) suggests in the "essence" of his general theory. The theoretical essence is the idea that exogenous changes in investment cause changes in…
There is an extensive historical dataset on real GDP per capita prepared by Angus Maddison. This dataset covers the period since 1870 with continuous annual estimates in developed countries. All time series for individual economies have a…
By modeling macro-economical indicators using digital traces of human activities on mobile or social networks, we can provide important insights to processes previously assessed via paper-based surveys or polls only. We collected aggregated…
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search,…
We analyse the economics and epidemiology of different scenarios for a phased restart of the UK economy. Our economic model is designed to address the unique features of the COVID-19 pandemic. Social distancing measures affect both supply…
A growing empirical literature suggests that equity-premium predictability is state dependent, with much of the forecasting power concentrated around recessionary periods (Henkel et al., 2011; Dangl and Halling, 2012; Devpura et al., 2018).…