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A0896
Title: Does the yield curve signal recessions? New evidence from an international panel data analysis Authors:  Jean-Baptiste Hasse - Aix-Marseille University (France) [presenting]
Abstract: The aim is to reexamine the predictive power of the yield spread across countries and over time. Using a dynamic panel/dichotomous model framework and a unique dataset covering 13 OECD countries over a period of 45 years, we empirically show that the yield spread signals recessions. This result is robust to different econometric specifications, controlling for recession risk factors and time sampling. Using a new cluster analysis methodology, we present empirical evidence of a partial homogeneity of the predictive power of the yield spread. The results provide a valuable framework for monitoring economic cycles.