Does the Term Structure Predict Recessions? The International Evidence
Henri Bernard and
Stefan Gerlach ()
International Journal of Finance & Economics, 1998, vol. 3, issue 3, 195-215
Following Estrella and Hardouvelis (1991) and Estrella and Mishkin (1995), we study the ability of the term structure to predict recessions in eight countries. The results are fourfold. First, the yield curve predicts future recessions in all countries. Second, term spreads forecast recessions as much as 2 years ahead. Third, while German and US spreads are frequently significant in the regressions for the other countries, the added information is limited except in Japan and the UK. Fourth, while leading indicators contain information beyond that in term spreads, this information is only useful for forecasting recessions in the immediate future. These findings provide further evidence of the potential usefulness of term spreads as indicators for monetary policy purposes. Copyright @ 1998 by John Wiley & Sons, Ltd. All rights reserved.
References: Add references at CitEc
Citations: View citations in EconPapers (105) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Does the Term Structure Predict Recessions? The International Evidence (1998)
Working Paper: Does the term structure predict recessions? The international evidence (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:3:y:1998:i:3:p:195-215
Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307
Access Statistics for this article
International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley
More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().