English, Article edition: Economic activity and recession probabilities: information content and predictive power of the term spread in Italy Marianna Brunetti; Costanza Torricelli

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Bookmark: http://trove.nla.gov.au/version/51270
Physical Description
  • article
Language
  • English

Edition details

Title
  • Economic activity and recession probabilities: information content and predictive power of the term spread in Italy
Author
  • Marianna Brunetti
  • Costanza Torricelli
Physical Description
  • article
Notes
  • 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).
  • RePEc:taf:applec:v:41:y:2009:i:18:p:2309-2322
Language
  • English
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