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Predicting National and Regional Recessions Using Probit Modeling and Interest-Rate Spreads

✍ Scribed by Gary L. Shoesmith


Book ID
108546677
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
514 KB
Volume
43
Category
Article
ISSN
0022-4146

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Forecasting interest rate swap spreads u
✍ Ilias Lekkos; Costas Milas; Theodore Panagiotidis πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 259 KB πŸ‘ 1 views

## Abstract This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a non‐linear framework. We reject linearity for the US and UK swap spreads in favour of a regime‐switching smooth transition vector autoregressive (STVAR)