Prediction of the start of next recession using latent factors

Pooi, Ah Hin * and Soo, Huei Ching and Pan, Wei Yeing (2016) Prediction of the start of next recession using latent factors. AIP Conference Proceedings, 1782 (050013). 050013-1-050013-7. ISSN 1551 7616

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Abstract

The data on the binary recession variable and the latent factors extracted from a large set of economic variables are fitted with a multivariate power-normal distribution. A conditional distribution for the recession variable is obtained from the fitted multivariate distribution. The results based on the US economic data show that the 2.5% point of the conditional distribution provides a good indicator for the start of the next recession.

Item Type: Article
Additional Information: 2nd author is with Heriot-Watt University Malaysia; 3rd author is with Universiti Tunku Abdul Rahman, Malaysia.
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Divisions: Sunway University > Sunway University Business School > Dept. Financial Mathematics & Statistics
Depositing User: Dr Janaki Sinnasamy
Date Deposited: 21 Dec 2016 02:55
Last Modified: 01 Feb 2017 08:08
URI: http://eprints.sunway.edu.my/id/eprint/435

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