Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity |
| |
Authors: | Dionisios Chionis Periklis Gogas Ioannis Pragidis |
| |
Institution: | (1) Department of International Economic Relations and Development, Democritus University of Thrace, Komotini, 69100, Greece;; |
| |
Abstract: | Several studies have established the predictive power of the yield curve for the U.S. and various European countries. In this
paper we use data from the European Union (EU15), from 1994:Q1 to 2008:Q3. We use the European Central Bank’s euro area yield
spreads to predict European real GDP deviations from the long-run trend. We also augment the models tested with non monetary
policy variables: the unemployment and a composite European stock price index. The methodology employed is a probit model
of the inverse cumulative distribution function of the standard distribution using several formal forecasting and goodness
of fit evaluation tests. The results show that the yield curve augmented with the composite stock index has significant forecasting
power in terms of the EU15 real output. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |