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A reappraisal of the leading indicator properties of the yield curve under structural instability

โœ Scribed by Andreas Schrimpf; Qingwei Wang

Book ID
113648061
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
663 KB
Volume
26
Category
Article
ISSN
0169-2070

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## Abstract The paper uses the standard probit model proposed by Estrella and Mishkin (1996), as well as the modified probit model suggested by Dueker (1997), to examine the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used