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Predicting Canadian Recessions Using Financial Variables: A Probit Approach
16 references·3 citing·41 second hop
Predicting Canadian Recessions Using Financial Variables: A Probit Approach (2021)Predicting Canadian Recessions Using Fina…The Structure of Interest Rates in Canada: Information Content About Medium-Term Inflation (1998)The Structure of Interest Rat…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Does the term structure predict recessions? The international evidence (1998)Does the term structure predi…The Relation between the Term Structure of Interest Rates and Canadian Economic Growth (1997)The Relation between the Term…An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length (1994)An Indicator of Future Inflat…The Yield Curve and Real Activity (1993)The Yield Curve and Real Acti…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…The Term Structure and World Economic Growth (1991)The Term Structure and World …What does the term structure tell us about future inflation? (1990)What does the term structure …Term-structure forecasts of interest rates, inflation and real returns (1990)Term-structure forecasts of i…New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…A Multi-Country Study of the Information in the Term Structure about Future Inflation (1989)A Multi-Country Study of the …The information in the term structure: Some further results (1988)The information in the term s…Indicators of Business Expansions and Contractions (1967)Indicators of Business Expans…Statistical Indicators of Cyclical Revivals and Recessions (1950)Statistical Indicators of Cyc…Statistical Indicators of Cyclical Revivals (1938)Statistical Indicators of Cyc…Predicting Canadian recessions using dynamic probit modelling approaches (2011)Predicting Canadian recession…The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada (2010)The behaviour of small cap vs…A Re-examination of the Predictability of Economic Activity Using the Yield Spread (2000)A Re-examination of the Predi…Trends and random walks in macroeconmic time series (1982)Dividend yields and expected stock returns (1988)Business conditions and expected returns on stocks and bonds (1989)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)Household Risk Management and Optimal Mortgage Choice (2003)The Term Structure of Real Rates and Expected Inflation (2007)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)What does the yield curve tell us about GDP growth? (2005)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The information in the term structure (1984)The impact of economic and financial factors on UK property performance (1999)Predictable changes in yields and forward rates (2001)Design and Estimation of Quadratic Term Structure Models (2003)Cointegration and Tests of Present Value Models (1987)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Inflation Illusion and Stock Prices (2004)Asset Prices in an Exchange Economy (1978)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)A Theory of the Term Structure of Interest Rates (1985)A Re-Examination of the Predictability of Economic Activity Using the Yield Spread (2001)Does the Term Structure Predict Recessions? The International Evidence (2005)Does the Yield Spread Predict Real Economic Activity? (2020)What Do the Leading Indicators Lead? (1996)Neural network forecasting of Canadian GDP growth (2001)Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization (2002)The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Measuring the Output Responses to Fiscal Policy (2012)Sources of risk and expected returns in global equity markets (1994)Time-Varying World Market Integration (2005)Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach (2008)Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature (2009)Dynamic probit models and financial variables in recession forecasting (2009)
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References

  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 1990Term-structure forecasts of interest rates, inflation and real returns444 cited
  • 1990What does the term structure tell us about future inflation?428 cited
  • 1998Does the term structure predict recessions? The international evidence264 cited
  • 1991The Term Structure and World Economic Growth191 cited
  • 1938Statistical Indicators of Cyclical Revivals145 cited
  • 1988The information in the term structure: Some further results131 cited
  • 1993The Yield Curve and Real Activity128 cited
  • 1994An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along Its Entire Length86 cited
  • 1967Indicators of Business Expansions and Contractions83 cited
  • 1997The Relation between the Term Structure of Interest Rates and Canadian Economic Growth70 cited
  • 1989A Multi-Country Study of the Information in the Term Structure about Future Inflation56 cited
  • 1950Statistical Indicators of Cyclical Revivals and Recessions

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46 cited
  • 1998The Structure of Interest Rates in Canada: Information Content About Medium-Term Inflation31 cited
  • Cited by

    • 2010The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada39 cited
    • 2000A Re-examination of the Predictability of Economic Activity Using the Yield Spread29 cited
    • 2011Predicting Canadian recessions using dynamic probit modelling approaches19 cited