Evaluating the Classification of Economic Activity into Recessions and Expansions

By Travis J. Berge, Ò. Jordà. 2011

260 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1321ea49f8ff43511befd2d87573d84bd530c424

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Citations in the corpus

The credit-to-GDP gap and countercyclical capital buffers: questions and answers (2014, background): “Its applications to economics are more recent (eg Cohen et al (2009), Berge and Jorda (2011), Jorda et al (2011)).”
Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons (2011, unknown): “As a final check, we calculate the autoclassification function (ACF) proposed in Berge and Jordà (2011).”
Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options (2014, methodology): “More recently the AUROC has been used as an evaluation criterion in the economics literature, for instance Berge and Jordà (2011), Jordà and Taylor (2011), Candelon et al. (2012), Jordà (2012), Drehmann and Juselius (2014), Betz et al. (2013) and Behn et al. (2013a).”
Markov-Switching MIDAS Models (2013, methodology): “, Estrella and Mishkin 1998; Stock and Watson 2010; Berge and Jorda 2011; and the literature review in Marcellino 2006). Table 1 reports the classification of the models we use in the empirical experiments. 2.2.2 Estimation and Model Selection. In the literature, MIDAS models are usually estimated b”
Evaluating early warning indicators of banking crises: Satisfying policy requirements (2014, methodology): “Recent exceptions include for instance Cohen et al (2009), Gorr and Schneider (2011), Berge and Jorda (2011) or Jorda et al (2011). The ROC curve has several useful properties (eg Hsieh and Turnbull (1996)).”
Learning from History: Volatility and Financial Crises (2016, methodology): “For example, we could have used Bollerslev’s (1986,1987) GARCH model, or other extensions.(4) The main alternative to the (G)ARCH class of models is realized volatility; the standard deviation of returns over a sample period. The choice of which modeling approach is the best to take depends to a con”
Diagnosing the Financial System: Financial Conditions and Financial Stress (2012, methodology): “Drawing on the work of Berge and Jordà (2011) in applying the ROC methodology to business-cycle dating, we then describe a statistical framework that balances the costs and benefits of identifying future crisis-like conditions based on the level of the index during past U.S. financial crises and…”