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Article Dans Une Revue International Journal of Forecasting Année : 2015

Macroeconomic forecasting during the Great Recession: the return of non-linearity?

Laurent Ferrara
Massimiliano Marcellino
  • Fonction : Auteur
Matteo Mogliani
  • Fonction : Auteur

Résumé

The debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides us with an interesting opportunity for a reassessment of the forecasting performance of several classes of nonlinear models. We conduct an extensive analysis over a large quarterly database consisting of major macroeconomic variables for a large panel of countries. It turns out that, on average, non-linear models cannot outperform standard linear specifications, even during the Great Recession. However, non-linear models lead to an improvement of the predictive accuracy in almost 40% of cases, and interesting specific patterns emerge among models, variables and countries. These results suggest that this specific episode seems to be characterized by a sequence of shocks with unusual large magnitude, rather than by an increase in the degree of non-linearity of the stochastic processes underlying the main macroeconomic time series.

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Dates et versions

hal-01635951 , version 1 (16-11-2017)

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  • HAL Id : hal-01635951 , version 1

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Laurent Ferrara, Massimiliano Marcellino, Matteo Mogliani. Macroeconomic forecasting during the Great Recession: the return of non-linearity?. International Journal of Forecasting, 2015, 31, pp.664-679. ⟨hal-01635951⟩
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