Arbeitspapier
Do Eurozone yield spreads predict recessions?
An OLS and probit framework is used to examine the predictive power of yield spreads with respect to GDP growth and recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a direct measure of default risk, are employed as part of a new risk-adjustment method that significantly enhances the predictive accuracy of the yield-spread approach. The results show that the accuracy of predictions of growth and recessions using the commonly employed yield spread remains high, provided that biases associated with Eurozone sovereign default risk are accounted for.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 532
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
- Thema
-
yield curve
CDS spreads
economic activity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schock, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schock, Matthias
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2014
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