Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78089
Authors: 
Ahrens, Ralf
Year of Publication: 
1999
Series/Report no.: 
CFS Working Paper 1999/15
Abstract: 
This study uses Markov-switching models to evaluate the informational content of the term structure as a predictor of recessions in eight OECD countries. The empirical results suggest that for all countries the term spread is sensibly modelled as a two-state regime-switching process. Moreover, our simple univariate model turns out to be a filter that transforms accurately term spread changes into turning point predictions. The term structure is confirmed to be a reliable recession indicator. However, the results of probit estimations show that the markov-switching filter does not significantly improve the forecasting ability of the spread. Klassifikation:
Subjects: 
term structure
economic fluctuations
forecasting
regime-switching
JEL: 
E44
C22
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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