The term structure, leading indicators, and recessions: evidence from Switzerland, 1974–2017
The term structure, leading indicators, and recessions: evidence from Switzerland, 1974–2017
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期限结构、领先指标和衰退：来自瑞士的证据，1974-2017
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发表时间：
2020
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通讯作者：
Rebecca Stuart
中科院分区：
文献类型：
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作者：
Rebecca Stuart
本文利用1974-2017年的月度数据，研究了瑞士期限结构的斜率对衰退的预测能力。动态概率模型表明，期限结构包含对预测长达19个月的经济衰退有用的信息。无论经济目前是否陷入衰退，对预测衰退也很有用。这些关系在样本中被证明是稳定的。稳健性检验表明，KOF业务过程指标和部分货币总量包含与期限结构不同的信息，这可以提高模型的样本内和样本外拟合度。
This paper studies the predictive power for recessions of the slope of the Swiss term structure using monthly data for 1974–2017. 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.
货币政策的风险承担渠道
DOI：
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发表时间：
2018
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影响因子：
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作者：
Adrian T
通讯作者：
Adrian T