Table 1 Probit model results, 6-month ahead forecast horizon, 1972M1–2017M10
From: The term structure, leading indicators, and recessions: evidence from Switzerland, 1974–2017
(1) | (2) | (3) | (4) | (5) Dummy = 1 after 1995M8 | (6) Dummy = 1 after 2000M1 | (7) Dummy = 1 after 2007M1 | (8) Dummy = 1 after 2011M9 | |
|---|---|---|---|---|---|---|---|---|
Spread | − 0.262*** (6.758) | − 0.262*** (3.621) | − 0.289*** (4.095) | − 0.276*** (3.867) | − 0. 2941*** (3.414) | − 0.264*** (3.378) | − 0.286*** (3.900) | − 0.278*** (3.876) |
Recession | 1.354*** (5.848) | |||||||
Recession (third lag) | 0.658*** (2.741) | 0.783** (2.361) | 0.638* (2.118) | 839*** (3.030) | 0.716*** (2.835) | |||
Dummy | 0.226 (0.515) | 0.155 (0.354) | 0.066 (0.126) | − 0.674 (0.658) | ||||
Dummy * Spread | 0.005 (0.017) | 0.159 (0.520) | 0.165 (0.337) | 0.538 (0.466) | ||||
Dummy * Recession | − 0.244 (0.515) | 0.071 (0.142) | − 0.894 (1.627) | − 0.790 (1.115) | ||||
Constant | − 0.138** (2.244) | − 0.138 (1.065) | − 0.699*** (4.188) | − 0.398*** (2.404) | − 0.506* (2.043) | − 408 (1.841) | − 0.453** (2.313) | − 0.351*** (1.966) |
Pseudo r-squared | 0.096 | 0.096 | 0.315 | 0.144 | 0.147 | 0.146 | 0.173 | 0.182 |