EconPapers    
Economics at your fingertips  
 

FORECASTING RECESSION IN SOUTH AFRICA: A COMPARISON OF THE YIELD CURVE AND OTHER ECONOMIC INDICATORS

Melvin Khomo () and Meshach Aziakpono ()

South African Journal of Economics, 2007, vol. 75, issue 2, 194-212

Abstract: The paper uses the standard probit model proposed by Estrella and Mishkin (1996), as well as the modified probit model suggested by Dueker (1997), to examine the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables such as the growth rate of real money supply, changes in stock prices and the index of leading economic indicators. Compared with other indicators, real M3 growth does not provide much information about future recessions, whilst movements in the All‐Share index provide information for up to 12 months but do not do better than the yield curve. The index of leading economic indicators outperforms the yield spread in the short run up to 4 months but the yield spread performs better at longer horizons.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1813-6982.2007.00117.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:sajeco:v:75:y:2007:i:2:p:194-212

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0038-2280

Access Statistics for this article

South African Journal of Economics is currently edited by Philip A. Black

More articles in South African Journal of Economics from Economic Society of South Africa Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-05-23
Handle: RePEc:bla:sajeco:v:75:y:2007:i:2:p:194-212