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Int. J. Financial Stud. 2015, 3(3), 381-392; doi:10.3390/ijfs3030381

A Probit Model for the State of the Greek GDP Growth

1
Department of Economics and Regional Development, Panteion University, 136 Syngrou Avenue, GR17671 Athens, Greece
2
Postgraduate Department of Business Administration, Hellenic Open University, Aristotelous 18, GR26335 Thessaloniki, Greece 
Academic Editor: George Filis
Received: 13 May 2015 / Revised: 5 August 2015 / Accepted: 10 August 2015 / Published: 13 August 2015
(This article belongs to the Special Issue Linkages between Equity Markets and International Macroeconomics)
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Abstract

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the state of the GDP growth. A contemporaneous, as well as a lagged, relationship between the explanatory variables and the state of the GDP growth is conducted. The mean absolute distance (MAD) between the probability of not being in recession and the probability estimated by the probit model is the function that evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as the explanatory variables has the lowest MAD value of 6.43% (7.94%) in the contemporaneous (lagged) relationship. View Full-Text
Keywords: GDP growth; industrial production; probability of recession; probit model; realized volatility; regime switching GDP growth; industrial production; probability of recession; probit model; realized volatility; regime switching
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Degiannakis, S. A Probit Model for the State of the Greek GDP Growth. Int. J. Financial Stud. 2015, 3, 381-392.

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