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Does the yield curve signal recessions? New evidence from an international panel data analysis

Author

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  • Jean-Baptiste Hasse

    (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, UCL - Université Catholique de Louvain = Catholic University of Louvain)

  • Quentin Lajaunie

    (LEO - Laboratoire d'Économie d'Orleans - UO - Université d'Orléans - UT - Université de Tours)

Abstract
In this paper, we 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 the period 1975–2019, 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. Our results provide a valuable framework for monitoring economic cycles.

Suggested Citation

  • Jean-Baptiste Hasse & Quentin Lajaunie, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," Post-Print hal-03740235, HAL.
    • Handle: RePEc:hal:journl:hal-03740235
    DOI: 10.1016/j.qref.2022.01.001
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    Cited by:

    1. Quentin LAJAUNIE, 2021. "Nonlinear Impulse Response Function for Dichotomous Models," LEO Working Papers / DR LEO 2852, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    2. Candelon, Bertrand & Hasse, Jean-Baptiste, 2023. "Testing for causality between climate policies and carbon emissions reduction," Finance Research Letters, Elsevier, vol. 55(PA).
    3. Christos Argyropoulos & Bertrand Candelon & Jean‐Baptiste Hasse & Ekaterini Panopoulou, 2024. "Towards a macroprudential regulatory framework for mutual funds?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3063-3082, July.
    4. Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
    5. Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
    6. Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
    7. Filip Bašić & Tomislav Globan, 2023. "Early bird catches the worm: finding the most effective early warning indicators of recessions," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 36(1), pages 2120040-212, December.
    8. Bayaa, Yasmeen & Qadan, Mahmoud, 2024. "The shape of the Treasury yield curve and commodity prices," International Review of Financial Analysis, Elsevier, vol. 94(C).
    9. Jean-Baptiste Hasse & Christelle Lecourt & Souhila Siagh, 2024. "Setting up a Sovereign Wealth Fund to Reduce Currency Crises," AMSE Working Papers 2417, Aix-Marseille School of Economics, France.

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    More about this item

    Keywords

    Yield spread Recession Panel binary model Cluster analysis;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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