Predictive power of the term structure of interest rates over recessions in Europe
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/11328/1838 |
Resumo: | This 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. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Predictive power of the term structure of interest rates over recessions in EuropeTerm structure of interest ratesPredictionRecessionsEuropean countriesFactor models decompositionThis 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.2017-04-19T13:43:31Z2014-01-01T00:00:00Z2014info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/11328/1838engPinho, CarlosMadaleno, MaraMaldonado, IsabelRodríguez de Prado, Franciscoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-06-15T02:10:07ZPortal AgregadorONG |
dc.title.none.fl_str_mv |
Predictive power of the term structure of interest rates over recessions in Europe |
title |
Predictive power of the term structure of interest rates over recessions in Europe |
spellingShingle |
Predictive power of the term structure of interest rates over recessions in Europe Pinho, Carlos Term structure of interest rates Prediction Recessions European countries Factor models decomposition |
title_short |
Predictive power of the term structure of interest rates over recessions in Europe |
title_full |
Predictive power of the term structure of interest rates over recessions in Europe |
title_fullStr |
Predictive power of the term structure of interest rates over recessions in Europe |
title_full_unstemmed |
Predictive power of the term structure of interest rates over recessions in Europe |
title_sort |
Predictive power of the term structure of interest rates over recessions in Europe |
author |
Pinho, Carlos |
author_facet |
Pinho, Carlos Madaleno, Mara Maldonado, Isabel Rodríguez de Prado, Francisco |
author_role |
author |
author2 |
Madaleno, Mara Maldonado, Isabel Rodríguez de Prado, Francisco |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Pinho, Carlos Madaleno, Mara Maldonado, Isabel Rodríguez de Prado, Francisco |
dc.subject.por.fl_str_mv |
Term structure of interest rates Prediction Recessions European countries Factor models decomposition |
topic |
Term structure of interest rates Prediction Recessions European countries Factor models decomposition |
description |
This 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. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-01-01T00:00:00Z 2014 2017-04-19T13:43:31Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/11328/1838 |
url |
http://hdl.handle.net/11328/1838 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
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repository.mail.fl_str_mv |
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1777302551244308480 |