| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13519 |
| DP13519 The Slope of the Term Structure and Recessions: Evidence from the UK, 1822-2016 | |
| Charles A. E. Goodhart; Terence Mills; Forrest Capie | |
| 发表日期 | 2019-02-11 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper investigates whether the inversion of the yield spread, with short-term rates higher than the long-term rate, has been and remains an effective predictor of recessions in the U.K. using monthly data from 1822 to 2016. Indicators of recession are constructed in a variety of ways depending on the availability and properties of the data in the pre-World War 1, inter-war, and post-World War 2 periods. It is found that, using peak-to-trough recession indicators and a probit regression model, there is reasonably strong evidence to support the inverted yield spread being a predictor of recessions for lead times up to eighteen months in all three periods. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Yield spread Recession Prediction Probit models |
| URL | https://cepr.org/publications/dp13519 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542334 |
| 推荐引用方式 GB/T 7714 | Charles A. E. Goodhart,Terence Mills,Forrest Capie. DP13519 The Slope of the Term Structure and Recessions: Evidence from the UK, 1822-2016. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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