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Not sure your fact is correct. I saw this linked on HN recently: "We find that financial cycle measures have significant forecasting power both in and out of
by pmayrgundter 7y ago
Not sure your fact is correct. I saw this linked on HN recently:
"We find that financial cycle measures have significant forecasting power both in and out of sample, even for a three-year horizon. Moreover, they outperform the term spread in nearly all specifications. These results are robust to different recession specifications."
https://www.bis.org/publ/work818.pdf https://www.bis.org/publ/work818.pdf
- Frost1x 7y agoThe authors of that paper are not nearly as convinced in overall applicable recession predictability using their proxy measures as the abstract excerpt that lures the reader in: "These results suggest that financial cycle proxies may be another indicator that could be useful to policymakers, professional forecasters and market participants more generally." Emphasis added is mine. That's double the coverage of uncertainty propogation. Unfortunately, I suspect, like most working in modern research and academic settings, papers have to inflate success as much as possible or the researchers lose future funding even though this type of work is high risk of failure. This is partly to blame for the reproducibility crisis we're encountering across the board. I don't blame the authors (I feel their pain), but I do blame the poorly structured incentive/disincentive system creeping ever-further into academic research.