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| Author: | Ahrens, R. |
| Title: | Predicting recessions with interest rate spreads: a multicountry regime-switching analysis |
| Journal: | Journal of International Money and Finance
2002 : AUG, VOL. 21:4, p. 519-537 |
| Index terms: | FORECASTING RECESSION TERM STRUCTURE OF INTEREST RATES |
| Freeterms: | REGIME-SWITCHING |
| Language: | eng |
| 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. |
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