To What Extent Can Risk Indicators Identify a Coming Financial Crisis? Evaluating Indicator Performance On Economic Downturns In The US.
There are several economic variables used by investors to assess the risk of financial downturns. In this paper, we test twelve variables, divided into three categories: macroeconomic-, financial risk-, and sentiment indicators, in a logistic regression model, on in-sample data, with a binary outcome to evaluate their predictive power of economic downturns in the US, including the S&P 500, US