The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, the relationship between the term spread and economic growth rates is modelled as a nonlinear one and specifically the Logistic Smooth Transition model is used, while a probit model is implemented to forecast recession probabilities. In both applications evidence supports a relevant informative content of the spread in Italy
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|Date of creation:||Dec 2005|
|Date of revision:|
|Publication status:||Published in Applied Economics (2009)|
|Contact details of provider:|| Web page: http://www.economia.unimore.it/|
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