The aim of the present paper is to examine the information content of the Italian term spread as for real economic growth rates and recession probabilities and to test its predictive power in forecasting regime probabilities. To this end the relationship between the term spread and economic growth rates is modelled as a nonlinear one and specifically the Logistic Smooth Transition model is used, while a probit model is implemented to forecast recession probabilities. Specific to this paper is the use of the OECD business cycle chronology, which was never used before to this end for the Italian case. Overall evidence supports the informative content of the spread in Italy over the whole period (1984-2005) although results are more satisfacto...
In this paper the usefulness of spreads between long and short interest rates as indicators of futur...
This paper examines the time series properties of real GDP in the Euro area (EU 11), both prior to a...
The Risk-Modified Spread in Modelling the Dynamics of the Long-Term interest Rate : an Application ...
The aim of the present paper is to examine the information content of the Italian term spread as for...
The aim of the present article is to examine the information content of the Italian term spread as f...
The aim of the present article is to examine the information content of the Italian term spread as ...
The trend growth rate of the Italian economy has been declining since the 1980s. To examine how to o...
Based on a newly-available large set of historical national accounts, the paper revisits the main fe...
In this paper, we investigate possible sources of declining economic growth performance in Italy sta...
This study uses Markov-switching models to evaluate the informational content of the term structure ...
This paper analyses the BTP-Bund spread evolution by focussing on the impact it has on public debt,...
In this paper, we investigate possible sources of declining economic growth in Italy beginning near ...
Although the spread has been established as a leading indicator of economic activity, recent studies...
This paper attempts to evaluate the effects of fiscal policy announcements by the Italian government...
In this paper we examine the power of the interest rate spread and of other financial variables as p...
In this paper the usefulness of spreads between long and short interest rates as indicators of futur...
This paper examines the time series properties of real GDP in the Euro area (EU 11), both prior to a...
The Risk-Modified Spread in Modelling the Dynamics of the Long-Term interest Rate : an Application ...
The aim of the present paper is to examine the information content of the Italian term spread as for...
The aim of the present article is to examine the information content of the Italian term spread as f...
The aim of the present article is to examine the information content of the Italian term spread as ...
The trend growth rate of the Italian economy has been declining since the 1980s. To examine how to o...
Based on a newly-available large set of historical national accounts, the paper revisits the main fe...
In this paper, we investigate possible sources of declining economic growth performance in Italy sta...
This study uses Markov-switching models to evaluate the informational content of the term structure ...
This paper analyses the BTP-Bund spread evolution by focussing on the impact it has on public debt,...
In this paper, we investigate possible sources of declining economic growth in Italy beginning near ...
Although the spread has been established as a leading indicator of economic activity, recent studies...
This paper attempts to evaluate the effects of fiscal policy announcements by the Italian government...
In this paper we examine the power of the interest rate spread and of other financial variables as p...
In this paper the usefulness of spreads between long and short interest rates as indicators of futur...
This paper examines the time series properties of real GDP in the Euro area (EU 11), both prior to a...
The Risk-Modified Spread in Modelling the Dynamics of the Long-Term interest Rate : an Application ...