| dc.description.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. | en_US |
