RT Conference Proceedings
SR 00
A1 Shchekinova, E.
A1 Puchkova, A.
A1 Rovenskaya, E.
A1 Dieckmann, U.
T1 Anticipating Recessions using Inclination Analysis
YR 2017
FD 27 February-1 March 2017
AB Recessions are economic downturns that can be recognized from macro-indicators such as the Dow Jones Industrial Average (DJIA) and the Federal Reserve Interest Rate (FRIR). To provide early-warning signals of recessions and similar systemic transitions, here we propose a new approach based on pattern recognition, called inclination analysis [1, 2]. For this purpose, we develop a stochastic model based on time-series analysis to assess the probability of a recession to occur at a given moment in the past, present, or future. Calibrating our model to data proceeds in three steps, involving the coarse-graining of the available input time series, the identification of short series motifs that foreshadow recessions, and the optimization of key model parameters according to the model’s desired forecasting horizon.
T2 IIASA Institutional Evaluation 2017
ED IIASA, Laxenburg, Austria
AV Published
LK https://pure.iiasa.ac.at/id/eprint/14425/