Does the yield curve signal recessions? New evidence from an international panel data analysis

Jean-Baptiste Hasse and Quentin Lajaunie

The Quarterly Review of Economics and Finance, 2022, vol. 84, issue C, 9-22

Abstract: In this paper, we reexamine the predictive power of the yield spread across countries and over time. Using a dynamic panel/dichotomous model framework and a unique dataset covering 13 OECD countries over the period 1975–2019, we empirically show that the yield spread signals recessions. This result is robust to different econometric specifications, controlling for recession risk factors and time sampling. Using a new cluster analysis methodology, we present empirical evidence of a partial homogeneity of the predictive power of the yield spread. Our results provide a valuable framework for monitoring economic cycles.

Keywords: Yield spread; Recession; Panel binary model; Cluster analysis (search for similar items in EconPapers)
JEL-codes: C23 C25 E37 E43 E52 E58 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976922000011
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Does the yield curve signal recessions? New evidence from an international panel data analysis (2022)
Working Paper: Does the yield curve signal recessions? New evidence from an international panel data analysis (2022)
Working Paper: Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis (2020)
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:eee:quaeco:v:84:y:2022:i:c:p:9-22

DOI: 10.1016/j.qref.2022.01.001

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().