Recessions in Portugal: the predictive power of term structure of interest rates components

dc.contributor.authorMaldonado, Isabel
dc.contributor.authorPinho, Carlos
dc.date.accessioned2018-10-12T15:09:25Z
dc.date.available2018-10-12T15:09:25Z
dc.date.issued2018
dc.description.abstractIn this paper we present a study of the predictive ability of the term structure of interest rates over future recessions in Portugal. The analysis will be based on factor models in which the term structure of interest rates is determined by latent factors, corresponding to their level, slope and curvature. Simple and modified probit and logit models will be used to examine the forecasting ability of term structure in predicting economic crises (recessions). Recession periods were determined based on the methodology proposed by Bry and Boschan. Our results suggest that all term structure of interest rates components allow to predict recessions in one-year time horizons, with an increase in adjustment quality when we include an autoregressive term as the explanatory variable.pt_PT
dc.identifier.citationMaldonado, I., & Pinho, C. (2018). Recessions in Portugal: The predictive power of term structure of interest rates components. In 7th International Scientific Conference - ICTIC 2018, Slovakia, 2-7 Apr.2018 (pp.66-71). Disponível no Repositório UPT, http://hdl.handle.net/11328/2356pt_PT
dc.identifier.doi10.18638/ictic.2018.7.1pt_PT
dc.identifier.isbn978-80-554-1436-2
dc.identifier.urihttp://hdl.handle.net/11328/2356
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.rightsopen accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectTerm structure of interest rates factorspt_PT
dc.subjectRecessionspt_PT
dc.subjectFactor models’ decompositionpt_PT
dc.subjectPortugalpt_PT
dc.titleRecessions in Portugal: the predictive power of term structure of interest rates componentspt_PT
dc.typeconferenceObjectpt_PT
degois.publication.firstPage66pt_PT
degois.publication.lastPage71pt_PT
degois.publication.titleInternational Scientific Conference - ICTIC 2018pt_PT
dspace.entity.typePublicationen
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