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http://dx.doi.org/10.5351/KJAS.2009.22.2.249

The Term Structure and Predicting the Domestic Recessions  

Kim, Tae-Ho (Department of Information Statistics, Chungbuk National University)
Song, Dae-Sub (Department of Information Statistics, Chungbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.22, no.2, 2009 , pp. 249-260 More about this Journal
Abstract
Various methods have been suggested in developing the useful leading indicators to predict the actual realizations when time laps exist between policy plannings and future events. The recent economic crisis could have been relived if the information necessary to respond to the future evolutionary process is provided in advance. As the relations between the financial variables and the real economic activity become unstable because of the changes in the financial environment, this study attempts to estimate the capabilities of various internal and external term spreads in predicting the future business trend, followed by comparison and evaluation.
Keywords
Recession probability; term spread; coincidence index;
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