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The Yield Curve as a Predictor of Business Cycle

Dadashova, Iryna; Demchuk, Ivanna
Master thesis
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URI
https://hdl.handle.net/11250/2687379
Date
2020
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  • Master of Science [963]
Abstract
In the Master Thesis, we study the yield curve's predictability power for the

business cycle in developing countries. For this research, we want to answer the

question if the inverted yield curve can predict the recessions for emerging markets.

We consider four countries: Greece, India, South Africa, and Ukraine. Based on the

analysis of previous researches, we identify the advantages of different modelling

and forecasting tools. We find that the interest rate spread is statistically significant

for recession prediction based on OLS and probit modelling for mentioned above

countries. The out-of-sample forecasting works better than in-sample for Greece

and India, for Ukraine and Greece such performance is weaker. We conclude that

the yield curve has partial power in predicting a recession in developing countries.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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