To Örebro University

oru.seÖrebro University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach
Örebro University, Örebro University School of Business. School of Economics, University of Kent, United Kingdom.ORCID iD: 0000-0003-2587-8779
Department of Econometrics and Business Statistics, Monash University, Clayton VIC, Australia.ORCID iD: 0000-0003-1487-2232
2024 (English)In: Journal of Financial Econometrics, ISSN 1479-8409, E-ISSN 1479-8417, Vol. 22, no 5, p. 1482-1502Article in journal (Refereed) Published
Abstract [en]

We introduce a novel multinomial logistic model for detecting and forecasting concurrent recessions and bear markets across multiple countries. Our framework leverages cross-country panel features and provides additional information for robust analysis. Through a comprehensive simulation study, we demonstrate the computational efficiency and accuracy of our model, even when handling multiple binary indicators. Applying our framework to empirical data from the United States, the UK, and Euro Area, we find that the multinomial logistic model produces superior medium-term forecasting of concurrent recession and bear market events across countries compared to multiple independent single logistic models. Additionally, our counterfactual analysis reveals that specific events, such as a recession and bear market in the United States, along with the tightening of financial conditions and a negative interest rate spread in the United States, increase the probability of concurrent and individual recession and bear market occurrences in the UK and Euro Area.

Place, publisher, year, edition, pages
Oxford University Press, 2024. Vol. 22, no 5, p. 1482-1502
Keywords [en]
recession prediction, bear markets, multinomial logistic, cross-country, mixed frequency, Bayesian estimation
National Category
Economics
Identifiers
URN: urn:nbn:se:oru:diva-112744DOI: 10.1093/jjfinec/nbae003ISI: 001193858100001Scopus ID: 2-s2.0-85201392180OAI: oai:DiVA.org:oru-112744DiVA, id: diva2:1847887
Available from: 2024-03-31 Created: 2024-03-31 Last updated: 2025-01-30Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Poon, Aubrey

Search in DiVA

By author/editor
Poon, AubreyZhu, Dan
By organisation
Örebro University School of Business
In the same journal
Journal of Financial Econometrics
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 17 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf