SoleCRISTransition linkFrontpageTransition linkInstructionsTransition linkLogin Bank of Finland

A Peer-reviewed scientific articles/A1 Journal article (refereed), original research
      
This is the view page of publication. On this page you can view basic information of publication or go back on previous page using back-action on the bottom of the page. If you want to move to edit the information of publication, use the actions on the bottom of the page or continue using the system from menu.


Forecasting the state of the Finnish business cycle, Finnish Economic Papers 1 (2020). Pönkä, Harri; Stenborg, Markku


Category A Peer-reviewed scientific articles
Sub-category A1 Journal article (refereed), original research
auki Internal authors
Pönkä Harri / Forecasting
All authors as text Pönkä, Harri; Stenborg, Markku 
Number of authors
Status Published
Year of publication 2020 
Date 17.02.2020 
Name of article Forecasting the state of the Finnish business cycle 
Name of journal Finnish Economic Papers
Volume of issue 28 
Number of issue
Pages 1-19 
Abstract We employ probit models to study the predictability of recession periods in Finland using a set of commonly used variables based on previous literature. The findings point out that individual predictors, including the term spread and the real housing prices from the capital area, are useful predictors of recession periods. However, the best in-sample fit is found using combinations of variables. The pseudo out-of-sample forecasting results are generally in line with the in-sample results, and suggest that in the one-quarter ahead forecasts a model combining the term spread, the unemployment expectation component of the consumer confidence index, and the real housing price index performs the best based on the area under the receiver operating characteristic curve. Autoregressive probit models yield higher in-sample fits compared to the static probit models, and the best pseudo out-of-sample forecasts for longer forecasting horizons are given by an autoregressive model.
Free text descriptor in Finnish suhdannevaihtelut; ennusteet; taloudelliset ennusteet; mallit; indikaattorit; indeksit; Suomi 
Free text descriptor in English Business cycle, Recession period, Probit model 
JEL-codes C22, C25, E32, E37 
ISSN / e-ISSN 0784-5197 
auki Internet addresses
Open Access Open access -publication