From: The term structure, leading indicators, and recessions: evidence from Switzerland, 1974–2017
Horizons at which variables are significant at the 5% level (months) | ||||||
---|---|---|---|---|---|---|
(1) | (2) | (3) | (4) | (5) | (6) | |
Spread | 1–17 | 1–18 | 1–18 | 1–24 | 1–18 | 1–18 |
Recession (third lag) | < 8, > 14 | < 9, > 15 | < 4, > 10 | < 7, > 11 | < 6, 16–23 | < 8, > 15 |
BCI | 10–11 | |||||
KOF | 2–15 | 5–15 | 2–16 | |||
M1 | 1–12, 22–24 | 1–11, 22–24 | ||||
M2 | 1–7 | 1–9 |