Predicting U.S. Recessions: Financial Variables as Leading Indicators

@article{Estrella1998PredictingUR,
  title={Predicting U.S. Recessions: Financial Variables as Leading Indicators},
  author={Arturo Estrella and Frederic S. Mishkin},
  journal={Review of Economics and Statistics},
  year={1998},
  volume={80},
  pages={45-61}
}
This paper examines the out-of-sample performance of various financial variables as predictors of U.S. recessions. Series such as interest rates and spreads, stock prices, and monetary aggregates are evaluated individually and in comparison with other financial and nonfinancial indicators. The analysis focuses on out-of-sample performance from one to eight quarters ahead. Results show that stock prices are useful with one- to three-quarter horizons, as are some well-known macroeconomic… 
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