Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
If the links between credit markets and real economy tighten in a crisis, financial indicators might be particularly useful in forecasting the macroeconomic outcomes associated with episodes of financial distress. We examine this conjecture by using a range of linear and nonlinear VAR models to generate predictive distributions for US inflation and industrial production growth. Financial variables display significant predictive power over the Great Recession period, particularly if used within a threshold model that captures the structural break associated to the crisis. However, the Great