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.
| Author: | Ralf AhrensGND |
|---|---|
| URN: | urn:nbn:de:hebis:30-9643 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 1999,15 |
| Series (Serial Number): | CFS working paper series (1999, 15) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 1999 |
| Year of first Publication: | 1999 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/06/13 |
| Tag: | economic fluctuations; forecasting; regime-switching; term structure |
| GND Keyword: | Rezession; Zinsfuß; OECD; Mitgliedsstaaten; Prognose |
| HeBIS-PPN: | 197169902 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | 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 | |
| Licence (German): |  Deutsches Urheberrecht |
