Predicting Canadian Recessions Using Financial Variables: A Probit Approach
Download full text from publisher
References listed on IDEAS
- Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Staff Working Papers 97-10, Bank of Canada.
- Bernard, Henri & Gerlach, Stefan, 1998.
"Does the Term Structure Predict Recessions? The International Evidence,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 3(3), pages 195-215, July.
- Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements.
- Bernard, Henri J & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," CEPR Discussion Papers 1892, C.E.P.R. Discussion Papers.
- Jeffrey A. Frankel & Cara S. Lown, 1994.
"An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 109(2), pages 517-530.
- Jeffrey A. Frankel & Cara S. Lown, 1991. "An indicator of future inflation extracted from the steepness of the interest rate yield curve along its entire length," Research Paper 9122, Federal Reserve Bank of New York.
- Jeffrey A. Frankel & Cara S. Lown, 1991. "An Indicator of Future Inflation Extracted From the Steepness of the Interest Rate Yield Curve Along Its Entire Length," NBER Working Papers 3751, National Bureau of Economic Research, Inc.
- W. A. Beckett, 1961. "Indicators of Cyclical Recessions and Revivals in Canada," NBER Chapters,in: Business Cycle Indicators, Volume 1, pages 294-324 National Bureau of Economic Research, Inc.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991.
" The Term Structure as a Predictor of Real Economic Activity,"
Journal of Finance,
American Finance Association, vol. 46(2), pages 555-576, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996. "Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve," Cahiers de recherche CREFE / CREFE Working Papers 42, CREFE, Université du Québec à Montréal.
- Campbell R. Harvey, 1997. "The Relation between the Term Structure of Interest Rates and Canadian Economic Growth," Canadian Journal of Economics, Canadian Economics Association, vol. 30(1), pages 169-193, February.
- Geoffrey H. Moore, 1961. "Leading and Confirming Indicators of General Business Changes," NBER Chapters,in: Business Cycle Indicators, Volume 1, pages 45-109 National Bureau of Economic Research, Inc.
- Barry Cozier & Greg Tkacz, "undated". "The Term Structure and Real Activity in Canada," Staff Working Papers 94-3, Bank of Canada.
- James H. Stock & Mark W. Watson, 1989.
"New Indexes of Coincident and Leading Economic Indicators,"
NBER Chapters,in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409
National Bureau of Economic Research, Inc.
- Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Esther FernÃ¡ndez Galar & Javier GÃ³mez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
- Switzer, Lorne N., 2010. "The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 332-346, December.
- Hamilton, James D & Kim, Dong Heon, 2002.
"A Reexamination of the Predictability of Economic Activity Using the Yield Spread,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 34(2), pages 340-360, May.
- James D. Hamilton & Dong Heon Kim, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," NBER Working Papers 7954, National Bureau of Economic Research, Inc.
- Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
- Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
- Pons Novell, J., 2002. "Ciclo de la economía española y contenido informativo de los tipos de interés," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 20, pages 583-598, Diciembre.
- Milda Maria Burzala, 2012. "The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 73-88.
- Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49.
- Döpke, Jörg, 1999. "Predicting Germany's recessions with leading indicators: Evidence from probit models," Kiel Working Papers 944, Kiel Institute for the World Economy (IfW).
- Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
- Viktor Kotlan, 2002. "Monetary Policy and the Term Spread in a Macro Model of a Small Open Economy," Working Papers 2002/01, Czech National Bank, Research Department.
- Sylvain Martel, 2005. "Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?," Staff Working Papers 05-5, Bank of Canada.
- Javier GÃ³mez, 2007. "Changes in the Informational Content of the Spread: Is Monetary Policy Becoming Less Effective?," Faculty Working Papers 05/07, School of Economics and Business Administration, University of Navarra.
- Souki, Kaouthar, 2008. "Assessing the effects of U.S. shocks on the Canadian economy using alternative identification methods," The North American Journal of Economics and Finance, Elsevier, vol. 19(2), pages 193-213, August.
- Melvin muzi Khomo & Meshach jesse Aziakpono, 2007. "Forecasting Recession In South Africa: A Comparison Of The Yield Curve And Other Economic Indicators," South African Journal of Economics, Economic Society of South Africa, vol. 75(2), pages 194-212, June.
- Jean-michel Sahut & Medhi Mili & Frédéric Teulon, 2012.
"What is the linkage between real growth in the Euro area and global financial market conditions?,"
AccessEcon, vol. 32(3), pages 2464-2480.
- Jean-Michel Sahut & Medhi Mili & Frédéric Teulon, 2014. "What is the linkage between real growth in the Euro area and global financial market conditions ?," Working Papers 2014-324, Department of Research, Ipag Business School.
- Viktor Kotlán, 2000. "The Term Structure of Interest Rates and Future Inflation," Macroeconomics 0004014, University Library of Munich, Germany.
- Patrick De lamirande & Jason Stevens, 2016. "Predicting events with an unidentified time horizon," Economics Bulletin, AccessEcon, vol. 36(2), pages 729-735.
More about this item
KeywordsBusiness fluctuations and cycles; Interest rates;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocawp:98-5. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.bank-banque-canada.ca/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.