- Title
- Forecasting recession in South Africa: A comparison of the yield curve and other economic indicators
- Creator
- Khomo, Melvin M, Aziakpono, Meshach J
- Subject
- To be catalogued
- Date
- 2007
- Type
- text
- Type
- article
- Identifier
- http://hdl.handle.net/10962/469775
- Identifier
- vital:77293
- Identifier
- https://doi.org/10.1111/j.1813-6982.2007.00117.x
- Description
- The paper uses the standard probit model proposed by Estrella and Mishkin (1996), as well as the modified probit model suggested by Dueker (1997), to examine the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables such as the growth rate of real money supply, changes in stock prices and the index of leading economic indicators. Compared with other indicators, real M3 growth does not provide much information about future recessions, whilst movements in the All‐Share index provide information for up to 12 months but do not do better than the yield curve. The index of leading economic indicators outperforms the yield spread in the short run up to 4 months but the yield spread performs better at longer horizons.
- Format
- 19 pages, pdf
- Language
- English
- Relation
- South African Journal of Economics, Khomo, M.M. and Aziakpono, M.J., 2007. Forecasting recession in South Africa: A comparison of the yield curve and other economic indicators. South African Journal of Economics, 75(2), pp.194-212, South African Journal of Economics volume 75 number 2 194 212 2007 1813-6982
- Rights
- Publisher
- Rights
- Use of this resource is governed by the terms and conditions of the Wiley Library Online Terms of Use Statement (https://onlinelibrary.wiley.com/terms-and-conditions)
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Collections
Aziakpono, Meshach Jesse (Prof)
RU Department of Economics and Economic History
SDG 08. Decent Work and Economic Growth
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | Forecasting recession in South Africa.pdf | 654 KB | Adobe Acrobat PDF | View Details Download |