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- W2028533620 abstract "This paper proposes a model to predict recessions that accounts for non-linearity and a structural break when the spread between long- and short-term interest rates is the leading indicator. Estimation and model selection procedures allow to estimate and to identify time varying non-linearity in a VAR. The structural break threshold VAR (SBTVAR) predicts better the timing of recessions than models with constant threshold or with only a break. Using real-time data, the SBTVAR with spread as leading indicator is able to anticipate correctly the timing of the 2001 recession." @default.
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- W2028533620 date "2004-01-01" @default.
- W2028533620 modified "2023-10-16" @default.
- W2028533620 title "Structural Break Threshold VARs for Predicting US Recessions Using the Spread" @default.
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- W2028533620 doi "https://doi.org/10.2139/ssrn.878444" @default.
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