Skip to main content

Economic activity and recession probabilities: information content and predictive power of the term spread in Italy

Buy Article:

$47.00 plus tax (Refund Policy)

The aim of the present article is to examine the information content of the Italian term spread as for real economic growth rates and recession probabilities and to test its predictive power in forecasting regime probabilities. To this end 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. Specific to this article is the use of the OECD business cycle chronology, which was never used before to this end for the Italian case. Overall evidence supports the informative content of the spread in Italy over the whole period (1984-2005) although results are more satisfactory as from 1992. In particular, recession forecasts are generally better than those obtained with other chronologies previously adopted for the Italian case (ISAE and ECRI).
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Data/Media
No Metrics

Document Type: Research Article

Affiliations: University of Modena and Reggio Emilia and CEFIN, Modena, Italy

Publication date: 2009-08-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more