Does the yield curve signal recessions? New evidence from an international panel data analysis

Autor: Jean-Baptiste Hasse, Quentin Lajaunie
Přispěvatelé: Aix-Marseille Sciences Economiques (AMSE), École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS), Université Catholique de Louvain = Catholic University of Louvain (UCL), Laboratoire d'Économie d'Orleans (LEO), Université d'Orléans (UO)-Université de Tours (UT), École des hautes études en sciences sociales (EHESS)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS)-Aix Marseille Université (AMU), Laboratoire d'Economie de Dauphine (LEDa), Centre National de la Recherche Scientifique (CNRS)-Institut de Recherche pour le Développement (IRD)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), Lhuillier, Elisabeth, Institut de Recherche pour le Développement (IRD)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), UCL - SSH/LIDAM/LFIN - Louvain Finance
Jazyk: angličtina
Rok vydání: 2022
Předmět:
JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices
Business Fluctuations
and Cycles/E.E3.E37 - Forecasting and Simulation: Models and Applications
Economics and Econometrics
JEL: C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C23 - Panel Data Models • Spatio-temporal Models
JEL: E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy
Central Banking
and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their Policies
Recession
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
JEL: E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy
Central Banking
and the Supply of Money and Credit/E.E5.E52 - Monetary Policy
Cluster analysis
Yield Spread
Panel Binary Model
Cluster Analysis
JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E43 - Interest Rates: Determination
Term Structure
and Effects
Yield spread Recession Panel binary model Cluster analysis
Yield spread
[SHS.ECO] Humanities and Social Sciences/Economics and Finance
Finance
Panel binary model
JEL: C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C25 - Discrete Regression and Qualitative Choice Models • Discrete Regressors • Proportions • Probabilities
Zdroj: Quarterly Review of Economics and Finance
Quarterly Review of Economics and Finance, 2022, 84, pp.9-22. ⟨10.1016/j.qref.2022.01.001⟩
The Quarterly Review of Economics and Finance, Vol. 84, p. 9-22 (2022)
ISSN: 1062-9769
1878-4259
DOI: 10.1016/j.qref.2022.01.001⟩
Popis: Economics; International audience; In this paper, we reexamine the predictive power of the yield spread across countries and over time. Using a dynamic panel/dichotomous model framework and a unique dataset covering 13 OECD countries over the period 1975–2019, we empirically show that the yield spread signals recessions. This result is robust to different econometric specifications, controlling for recession risk factors and time sampling. Using a new cluster analysis methodology, we present empirical evidence of a partial homogeneity of the predictive power of the yield spread. Our results provide a valuable framework for monitoring economic cycles.
Databáze: OpenAIRE
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