imsanjoykb/Recession-Indicator-Research
This paper studies the infromation content of the yield curve as recession indicator in the Eurozone. This paper employs a dataset extending from 1970 to 2017 to create an aggregated syntheic yield curve for 3-month interest rates, 10-year interest rates and rate of GDP growth. This paper is the first to utilise Support Vector Machine for forecasting of recessions in the Eurozone.
This research explores how the Eurozone yield curve can predict recessions, specifically for economists, financial analysts, and policymakers. It takes historical data on 3-month and 10-year interest rates and GDP growth to build models, producing forecasts and performance visuals for recession indicators. The aim is to help assess future economic downturns.
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Use this if you are a Eurozone economist or financial analyst interested in understanding the effectiveness of the yield curve as a recession predictor using historical data.
Not ideal if you need real-time, highly accurate, or production-ready recession forecasting models, as this is a research paper with acknowledged data and model limitations.
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MIT
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Aug 10, 2021
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