International Conference on Eurasian Economies
17-18 September 2013 – St. Petersburg, RUSSIA
Paper detail
Paper ID : 645
Status : Paper published
Language : English
Topic : Finance and Financial Crises
Presenter: Asst. Prof. Dr. Hüseyin Kaya
Session : 5A Finance I
On the Predictive Power of the Yield Spread for Future Growth and Recession: The Turkish Case
On the Predictive Power of the Yield Spread for Future Growth and Recession: The Turkish Case
- Asst. Prof. Dr. Hüseyin Kaya (Bahçesehir University, Türkiye)
Abstract
This paper investigates the predictive power of the yield spread on future industrial production growth and recession in Turkey. Employing the linear regression model we find that the yield spread has predictive power when forecasting industrial production growth. The results also suggest that in the inflation targeting monetary policy period, predictive power of the yield spread has increased. Furthermore, we investigate whether the yield spread predicts recession by employing a probit model. Since no official recessions are available in Turkey, we determine the recessions using the BBQ methodology. The findings suggest that the yield spread predicts the recessions about one year ahead.
JEL codes: C22, E37, E43
Kaya, Hüseyin (2013). "On the Predictive Power of the Yield Spread for Future Growth and Recession: The Turkish Case" in Proceedings of International Conference of Eurasian Economies 2013, pp.151-151, St. Petersburg, RUSSIA.
DOI: https://doi.org/10.36880/C04.00645
