Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-Post Analysis

Economics Bulletin, Forthcoming

9 Pages Posted: 29 Nov 2011

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Date Written: November 29, 2011

Abstract

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009-09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite well, moving inside the forecast confidence bands for over a year. Interestingly, it is also found that the confidence bands worked very good as resistance levels, while the forecasted values as support levels. Moreover, an important turning point in April 2010 was also correctly forecasted. However, in July-August 2010, the SP500 started to diverge upwards, and after the speech by the FED Chairman at Jackson Hole (Wyo., USA) on the 27/08/2010, the stock market index never returned inside the forecast confidence bands. Additional evidence is then provided to show that the anti-bubble started in October 2007 ended almost three years later in August 2010, similarly to the first anti-bubble on the SP500, which started in August 2000 and ended in August 2003.

Keywords: Log-periodic models, Crashes, Anti-Bubbles, Long-term Forecasting, Out-of-sample Forecasting, Ex-post Analysis, SP500, FED

JEL Classification: C32, C51, C53, G17

Suggested Citation

Fantazzini, Dean, Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-Post Analysis (November 29, 2011). Economics Bulletin, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1966045

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

Register to save articles to
your library

Register

Paper statistics

Downloads
119
Abstract Views
551
rank
236,101
PlumX Metrics