作者信息：
格劳纳特·马策尔·彼得（Granát Marcell Péter）: 匈牙利国家银行教育与研究专家，诺伊曼·亚诺什大学助教，罗兰大学博士研究生. E-mail: granatm@mnb.hu
奈斯维达·加博尔（Neszveda Gábor）: 匈牙利国家银行处长，诺伊曼·亚诺什大学副教授. E-mail: neszvedag@mnb.hu
萨博·多洛吉奥（Szabó Dorottya）: 里斯本大学学生. E-mail: dorottya.szabo@aln.iseg.ulisboa.pt
摘要：
由于多种原因，政府债券的收益率曲线被证明可以准确预测美国经济衰退。在我们的研究中，我们实证检验了这种关系是否也可以在欧洲国家的情况下观察到。分析工具包括霍德里克—普雷斯科特（Hodrick-Prescott）滤波和多元概率比模型（Probit模型）。我们希望通过最佳匹配政府债券到期利差并检查我们的结果在扩展到欧洲收益率曲线时是否显示出稳健性来扩展文献中的建模程序。我们研究的主要结果是，就美国而言，根据7年期和1年期政府债券收益率计算出的利差被证明是最好的预测指标，同样可以预测欧洲一半国家的经济危机的出现。
引用格式 （APA）：
Granát, M. P., Neszveda, G., & Szabó, D. (2024). An Empirical Analysis of the Predictive Power of European Yield Curves. Financial and Economic Review, 23(Chinese Issue of Selected Studies), 57–72. https://hitelintezetiszemle.mnb.hu/cn/hsz-2024-cn-s4-granat-neszveda-szabo
刊：
研究论文
《经济文献杂志》（JEL）编码：
G17，O11，O47
关键词：
收益率曲线；衰退；Probit模型
参考文献：
Ang, A. – Piazzesi, M. – Wei, M. (2006): What does the yield curve tell us about GDP growth.（《收益率曲线告诉我们有关 GDP 增长的什么信息》）Journal of Econometrics, 131(1–2): 359–403. https://doi.org/10.1016/j.jeconom.2005.01.032
Bauer, M.D. – Mertens, T.M. (2018a): Economic forecasts with the yield curve. （《用收益率曲线进行经济预测》）FRBSF Economic Letter 2018-07, Federal Reserve Bank of San Francisco. https://www.frbsf.org/economic-research/publications/economic-letter/2018/march/economic-forecasts-with-yield-curve/
Bauer, M.D. – Mertens, T.M. (2018b): Information in the yield curve about future recessions.（《收益率曲线中有关未来衰退的信息》）FRBSF Economic Letter 2018-20, Federal Reserve Bank of San Francisco. https://www.frbsf.org/economic-research/publications/economic-letter/2018/august/information-in-yield-curve-about-future-recessions/
Chauvet, M. – Potter, S. (2005): Forecasting recessions using the yield curve. （《使用收益率曲线预测衰退》）Journal of Forecasting, 24(2): 77–103. https://doi.org/10.1002/for.932
Chinn, M.D. – Kucko, K.J. (2015): The Predictive Power of the Yield Curve Across Countries and Time. （《不同国家和时间的收益率曲线的预测能力》）International Finance, 18(2): 129–156. https://doi.org/10.1111/infi.12064
Duarte, A. – Venetis, I.A. – Paya, I. (2005): Predicting real growth and the probability of recession in the euro area using the yield spread. （《使用收益率差预测欧元区的实际增长和衰退的可能性》）International Journal of Forecasting, 21(2): 261–277. https://doi.org/10.1016/j.ijforecast.2004.09.008
Estrella, A. (2022): Yield curve spreads and the risk of recession. （《收益率曲线利差和衰退风险》）Finance, Economics and Monetary Policy Discussion Paper No. 2201. http://www.financeecon.com/DPs/DP2201.pdf
Estrella, A. – Mishkin, F.S. (1996): The Yield Curve as a Predictor of U.S. Recessions. （《收益率曲线作为美国经济衰退的预测指标》）Current Issues in Economics and Finance, 2(7). https://doi.org/10.2139/ssrn.1001228
Estrella, A. – Mishkin, F.S. (1997): The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank. （《欧洲和美国利率期限结构的预测能力：对欧洲央行的影响》）European Economic Review, 41(7): 1375–1401. https://doi.org/10.1016/S0014-2921(96)00050-5
Estrella, A. – Mishkin, F.S. (1998): Predicting US recessions: Financial variables as leading indicators. （《预测美国经济衰退：金融变量作为领先指标》）Review of Economics and Statistics, 80(1): 45–61. https://doi.org/10.1162/003465398557320
Estrella, A. – Rodrigues, A.P. – Schich, S. (2003): How Stable Is the Predictive Power of the Yield Curve? Evidence from Germany and the United States. （《收益率曲线的预测能力有多稳定？ 来自德国和美国的证据》）Review of Economics and Statistics, 85(3): 629–644. https://doi.org/10.1162/003465303322369777
Granát, M. – Lehmann, K. – Nagy, O. – Neszveda, G. (2023): Expect the unexpected: Did the equity markets anticipate the Russo-Ukrainian war? （《期待意想不到的事情：股市是否预见到了俄乌冲突？》）Finance Research Letters, 58(PartA), 104301. https://doi.org/10.1016/j.frl.2023.104301
Hasse, J.-B. – Lajaunie, Q. (2022): Does the yield curve signal recessions? New evidence from an international panel data analysis. （《收益率曲线是否预示着经济衰退？ 来自国际面板数据分析的新证据》）The Quarterly Review of Economics and Finance, 84(May): 9–22. https://doi.org/10.1016/j.qref.2022.01.001
Haubrich, J.G. (2006): Does the yield curve signal recession? （《收益率曲线是否预示着经济衰退？》）Economic Commentary, Federal Reserve Bank of Cleveland, 15 April. https://www.clevelandfed.org/newsroom-and-events/publications/economic-commentary/economic-commentary-archives/2006-economic-commentaries/ec-20060415-does-the-yield-curve-signal-recession
Keen, H. (1989): The yield curve as a predictor of business cycle turning points. （《收益率曲线作为经济周期转折点的预测指标》）Business Economics, 24(4): 37–43.
Máténé Bella, K. – Ritzlné Kazimir, I. – Sugár, A. (2019): A magyarországi konjunktúrakutatás rövid történeti áttekintése. （《匈牙利经济周期研究的简要历史概述》）Statisztikai Szemle（匈牙利《统计评论》）, 97(6): 521–545. https://doi.org/10.20311/stat2019.6.hu0521
Matolcsy, Gy. – Palotai, D. (2016): The interaction between fiscal and monetary policy in Hungary over the past decade and a half. （《过去十五年来匈牙利财政和货币政策之间的相互作用》）Financial and Economic Review, 15(2): 5–32. https://en-hitelintezetiszemle.mnb.hu/letoltes/gyorgy-matolcsy-daniel-palotai-en.pdf
Rudebusch, G.D. – Williams, J.C. (2009): Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve. （《预测衰退：收益率曲线持久力之谜》）Journal of Business & Economic Statistics, 27(4): 492–503. https://doi.org/10.1198/jbes.2009.07213
Stevens, E.J. (1989): Is there a message in the yield curve? （《收益率曲线中是否有信息？》） Economic Commentary, Federal Reserve Bank of Cleveland, March 15. https://www.clevelandfed.org/newsroom-and-events/publications/economic-commentary/economic-commentary-archives/1989-economic-commentaries/ec-19890315-is-there-a-message-in-the-yield-curve
Wooldridge, J.M. (2012): Introductory econometrics: A modern approach.（《计量经济学导论：现代方法》）5th Edition. South-Western Cengage Learning.
Wright, J.H. (2006): The Yield Curve and Predicting Recessions. （《收益率曲线和预测衰退》）FEDS Working Paper No. 2006-7. https://doi.org/10.2139/ssrn.899538