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.

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MIT

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Aug 10, 2021

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