Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259744 
Authors: 
Year of Publication: 
2020
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 156 [Issue:] 1 [Article No.:] 2 [Publisher:] Springer [Place:] Heidelberg [Year:] 2020 [Pages:] 1-17
Publisher: 
Springer, Heidelberg
Abstract: 
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.
Subjects: 
Switzerland
Term structure
Recessions
Leading indicators
JEL: 
C25
E00
E43
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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