Yield spreads as predictors of recessions in a core European economic area

Abstract

The estimation of probabilities of recessions/weak economic activity based on probit analyses indicates that the development of the German yield spread as well as the development of a weighted average of European yield spreads have been useful predictors for periods of sluggish economic development in core Europe with a lead time of around three quarters. ^*

^*The Views expressed here are those of the author and do not necessarily reflect those of the OECD

^*The Views expressed here are those of the author and do not necessarily reflect those of the OECD

Notes

^*The Views expressed here are those of the author and do not necessarily reflect those of the OECD