M.Com. (Financial Economics)The use of the yield curve spread in forecasting future recessions has become popular as it is a simple tool to use, due to the positive relationship between the yield curve spread and economic activity. The inversion or flattening of the yield curve spread usually signals a future recession. This has been the subject of several studies both internationally and in South Africa. This research provides an analysis of the yield curve spread’s ability to accurately forecast future recessions in South Africa through the use of three probit models. Furthermore, the yield curve spread’s ability to estimate is compared to that of share prices, using the JSE All Share Index. This research extends on studies by Khomo and A...
Purpose: The aim of this study is to investigate the performance of forecasting the South African re...
Purpose: The aim of this study is to investigate the performance of forecasting the South African re...
In this paper, we replicate the main results of Rudebusch and Williams (2009), who show that the use...
M.Com. (Financial Economics)The use of the yield curve spread in forecasting future recessions has b...
M.Comm. (Financial Economics)The term structure of interest rates, particularly the term spread dete...
The term structure of interest rates, particularly the term spreaddetermined from the difference bet...
This study re-examines the yield curve’s forecasting abilities in South Africa and investigates its ...
The use of the yield curve in forecasting economic recessions is well established in the literature....
In the Master Thesis, we study the yield curve's predictability power for the business cycle in deve...
This paper decomposes the term spread into the expectation and the term premium components using a f...
This paper estimates the slope of the yield curve using quarterly data on real GDP and the nominal s...
This slope of the yield curve has been estimated using quarterly data on real GDP and the nominal sp...
We compare forecasts of recessions using four different specifications of the probit model: a time i...
M.Com. (Econometrics)This dissertation investigates the ability of different models to predict a rec...
M.Com. (Econometrics)This dissertation investigates the ability of different models to predict a rec...
Purpose: The aim of this study is to investigate the performance of forecasting the South African re...
Purpose: The aim of this study is to investigate the performance of forecasting the South African re...
In this paper, we replicate the main results of Rudebusch and Williams (2009), who show that the use...
M.Com. (Financial Economics)The use of the yield curve spread in forecasting future recessions has b...
M.Comm. (Financial Economics)The term structure of interest rates, particularly the term spread dete...
The term structure of interest rates, particularly the term spreaddetermined from the difference bet...
This study re-examines the yield curve’s forecasting abilities in South Africa and investigates its ...
The use of the yield curve in forecasting economic recessions is well established in the literature....
In the Master Thesis, we study the yield curve's predictability power for the business cycle in deve...
This paper decomposes the term spread into the expectation and the term premium components using a f...
This paper estimates the slope of the yield curve using quarterly data on real GDP and the nominal s...
This slope of the yield curve has been estimated using quarterly data on real GDP and the nominal sp...
We compare forecasts of recessions using four different specifications of the probit model: a time i...
M.Com. (Econometrics)This dissertation investigates the ability of different models to predict a rec...
M.Com. (Econometrics)This dissertation investigates the ability of different models to predict a rec...
Purpose: The aim of this study is to investigate the performance of forecasting the South African re...
Purpose: The aim of this study is to investigate the performance of forecasting the South African re...
In this paper, we replicate the main results of Rudebusch and Williams (2009), who show that the use...