Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach
提出一种多项逻辑回归模型，用于检测和预测多个国家同时发生经济衰退和熊市的情况，实证表明该模型比独立单逻辑模型在中长期预测中表现更优。
Abstract 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.