ON THE PREDICTIVE POWER OF THE YIELD SPREAD FOR FUTURE GROWTH AND RECESSION: THE TURKISH CASE

Hüseyin KAYA

doi:https://doi.org/10.18825/iremjournal.109062

Makale detayları

ON THE PREDICTIVE POWER OF THE YIELD SPREAD FOR FUTURE GROWTH AND RECESSION: THE TURKISH CASE

Yazarlar:

Hüseyin KAYA

Yayıncı:

Gökhan ÖZER

Dergi:

International Review of Economics and Management 2013 Vol.1 Issue 2, pp.74-91

Belge Tipi:

Makale

Yayın Tarihi:

7/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000477735

Sıklık:

İki Yıllık

pISSN:

2148-3493

DOI:

https://doi.org/10.18825/iremjournal.109062

Özet:

 

This paper investigates the predictive power of the yield spread on future industrial production growth and recession in Turkey.  Employing the linear regression model we find that the yield spread has predictive power when forecasting industrial production growth. The results also suggest that in the inflation targeting monetary policy period, predictive power of the yield spread has increased. Furthermore, we investigate whether the yield spread predicts  recession by employing a probit model. Since no official recessions are available in Turkey, we determine the recessions using the BBQ methodology. The findings suggest that the yield spread predicts the recessions almost one year ahead.

Makale detayları

ON THE PREDICTIVE POWER OF THE YIELD SPREAD FOR FUTURE GROWTH AND RECESSION: THE TURKISH CASE

Yazarlar: Hüseyin KAYA

Yayıncı: Gökhan ÖZER

Dergi: International Review of Economics and Management 2013 Vol.1 Issue 2, pp.74-91

Belge Tipi: Makale

Yayın Tarihi: 7/2015

Belge Dili: İngilizce

Document ID (Org No.): 2000477735

Sıklık: İki Yıllık

pISSN: 2148-3493

DOI: https://doi.org/10.18825/iremjournal.109062

Sayı

Yazarlar:

Hüseyin KAYA

Yayıncı:

Gökhan ÖZER

Dergi:

International Review of Economics and Management 2013 Vol.1 Issue 2, pp.74-91

Belge Tipi:

Makale

Yayın Tarihi:

7/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000477735

Sıklık:

İki Yıllık

pISSN:

2148-3493

DOI:

https://doi.org/10.18825/iremjournal.109062