文章基本信息

标题：The term structure, leading indicators, and recessions: evidence from Switzerland, 1974–2017
本地全文：下载
作者：Rebecca Stuart
期刊名称：Swiss Journal of Economics and Statistics
电子版ISSN：2235-6282
出版年度：2020
卷号：156
期号：1
页码：1-17
DOI：10.1186/s41937-019-0044-4
语种：English
出版社：Springer
摘要：This paper studies the predictive power for recessions of the slope of the Swiss term structure using monthly data for 1974鈥?017. Dynamic probit models indicate that the term structure contains information useful for predicting recessions for horizons up to 19 months. Whether the economy is currently in recession or not is also useful for forecasting recessions. These relationships prove stable over the sample. Robustness tests indicate that the KOF business course indicator and some monetary aggregates contain different information from the term structure which can improve the in- and out-of-sample fit of the model.
关键词：Switzerland;Term structure;Recessions;Leading indicators