Interest rates

• Predicting Canadian Recessions Using Financial Variables: A Probit Approach

  Staff Working Paper 1998-5 Joseph Atta-Mensah, Greg Tkacz

  This paper examines the ability of a number of financial variables to predict Canadian recessions. Regarding methodology, we follow closely the technique employed by Estrella and Mishkin (1998), who use a probit model to predict U.S. recessions up to eight quarters in advance. Our main finding is that the spread between the yield on Canadian […]

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Interest rates JEL Code(s): E, E3, E32, E4, E43