TY  - UNPD
A1  - Ahrens, Ralf
T1  - Predicting recessions with interest rate spreads: a multicountry regime-switching analysis
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 1999,15
N2  - This study uses Markov-switching models to evaluate the informational content of the term structure as a predictor of recessions in eight OECD countries. The empirical results suggest that for all countries the term spread is sensibly modelled as a two-state regime-switching process. Moreover, our simple univariate model turns out to be a filter that transforms accurately term spread changes into turning point predictions. The term structure is confirmed to be a reliable recession indicator. However, the results of probit estimations show that the markov-switching filter does not significantly improve the forecasting ability of the spread.
T3  - CFS working paper series - 1999, 15 
KW  - term structure
KW  - economic fluctuations
KW  - forecasting
KW  - regime-switching
KW  - Rezession
KW  - Zinsfuß
KW  - OECD
KW  - Mitgliedsstaaten
KW  - Prognose
Y1  - 1999
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4529
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-9643
ER  -