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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-squared0.0960.0960.3150.1440.1470.1460.1730.182
  1. Standard t-statistics in parenthesis, t-statistics robust to serial correlation in the residuals in brackets. */**/*** indicate significance at the 1%/2.5%/5% levels