Publication: Evaluating OECD’s main economic indicators at anticipating recessions
Authors
Camacho, Maximo ; Palmieri, Gonzalo
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Publisher
Wiley
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DOI
https://doi.org/10.1002/for.2709
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info:eu-repo/semantics/article
Description
© 2020. This document is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
This document is the submitted version of a published work that appeared in final form in
Journal of Forecasting
Abstract
Using receiver operating characteristic (ROC) techniques, we evaluate the predictive content of the monthly main economic indicators (MEI) of the Organization for Economic Co-operation and Development (OECD) for predicting both growth cycle and business cycle recessions at different horizons. From a sample that covers 123 indicators for 32 OECD countries as well as for Brazil, China, India, Indonesia, the Russian Federation, and South Africa, our results suggest that the OECD's MEI show a high overall performance in providing early signals of economic downturns worldwide, albeit they perform a bit better at anticipating business cycles than growth cycles. Although the performance for OECD and non-OECD members is similar in terms of timeliness, the indicators are more accurate at anticipating recessions for OECD members. Finally, we find that some single indicators, such as interest rates, spreads, and credit indicators, perform even better than the composite leading indicators.
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Citation
Journal of Forecasting 40. Year 2021 Pags 80-93
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