Predictive power of the term structure of interest rates over recessions in Europe

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dc.contributor.authorPinho, Carlos
dc.contributor.authorMadaleno, Mara
dc.contributor.authorRodríguez de Prado, Francisco
dc.contributor.authorMaldonado, Isabel
dc.date.accessioned2017-04-19T13:43:31Z
dc.date.available2017-04-19T13:43:31Z
dc.date.issued2014
dc.description.abstractThis work intends to infer for European countries the extent that anticipations of the term structure of interest rates has over recessions, as measured by factor models. For that, we model the shape of the yield curve by latent factors corresponding to its level, slope and curvature. The simple and modified probit and logit models are used to examine the yield curve’s ability to forecast economic downturns (recessions). Despite official recessions dates being available at the Centre for Economic Policy Research (CEPR), which recently formed a committee to set the dates of the Euro area business cycle in a manner similar to the NBER, these are based on aggregate data. So, we determine the recessions using the BBQ methodology to have them dated for each individual country in the sample. The findings suggest that the yield curve components predict recessions for more than one year ahead, with increased goodness of fit when the autoregressive term is included as explanatory variable. These results are consistent for both UK, Germany and Portugal.pt_PT
dc.identifier.citationPinho, C., Madaleno, M., Maldonado, I., & Rodríguez de Prado, F. (2014). Predictive power of the term structure of interest rates over recessions in Europe. 8th Annual Meeting of the Portuguese Economic Journal, Braga, Portugal, 4-5 Jul.2014. Disponível no Repositório UPT, http://hdl.handle.net/11328/1838pt_PT
dc.identifier.urihttp://hdl.handle.net/11328/1838
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.relation.publisherversionhttp://www3.eeg.uminho.pt/economia/nipe/PEJ2014/index_ficheiros/Page423.htmpt_PT
dc.rightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectTerm structure of interest ratespt_PT
dc.subjectPredictionpt_PT
dc.subjectRecessionspt_PT
dc.subjectEuropean countriespt_PT
dc.subjectFactor models decompositionpt_PT
dc.titlePredictive power of the term structure of interest rates over recessions in Europept_PT
dc.typejournal articlept_PT
degois.publication.locationBraga, Portugalpt_PT
degois.publication.title8th Annual Meeting of the Portuguese Economic Journalpt_PT
dspace.entity.typePublicationen
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.familyNameMaldonado
person.givenNameIsabel
person.identifier.ciencia-id1D1D-3612-D593
person.identifier.orcid0000-0002-1292-6201
relation.isAuthorOfPublication1d5bf75b-f0ec-4431-aa1e-cfb8be344155
relation.isAuthorOfPublication.latestForDiscovery1d5bf75b-f0ec-4431-aa1e-cfb8be344155

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