Prediction of the start of next recession

Pooi, Ah Hin * and Koh, You Beng (2016) Prediction of the start of next recession. Journal of Accounting, Finance and Economics, 6 (1). pp. 21-29. ISSN 2200-7970

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Abstract

The future value of the binary recession variable is modeled to be dependent on the present and past values of a set of m US economic variables selected from a pool of 14 variables via a conditional distribution which is derived from an -dimensional power-normal distribution. The mean together with the 2.5% and 97.5% points of the conditional distribution are used to predict the start of the next US recession. When and , some of the models can provide fairly good indicators for the start of the next US recession.

Item Type: Article
Additional Information: 2nd author is with Institute of Mathematical Sciences, University of Malaya
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Divisions: Sunway University > Sunway University Business School > Dept. Financial Mathematics & Statistics
Others > Non Sunway Academics
Depositing User: Dr Janaki Sinnasamy
Date Deposited: 09 Dec 2016 08:06
Last Modified: 25 Jan 2017 06:55
URI: http://eprints.sunway.edu.my/id/eprint/431

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