Predicting recessions with interest rate spreads: a multicountry regime-switching analysis
- 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.
| Verfasserangaben: | Ralf Ahrens |
|---|---|
| URN: | urn:nbn:de:hebis:30-9643 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 1999,15 |
| Schriftenreihe (Bandnummer): | CFS working paper series (1999, 15) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 1999 |
| Jahr der Erstveröffentlichung: | 1999 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 13.06.2005 |
| Freies Schlagwort / Tag: | economic fluctuations; forecasting; regime-switching; term structure |
| GND-Schlagwort: | Rezession; Zinsfuß; OECD; Mitgliedsstaaten; Prognose |
| HeBIS-PPN: | 197169902 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Klassifikation: | C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C22 Time-Series Models; Dynamic Quantile Regressions (Updated!) |
| C Mathematical and Quantitative Methods / C5 Econometric Modeling / C53 Forecasting and Other Model Applications | |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
