タイトル：Prediction of Recession and Information on Yield Curve and Stock Markets in Japan
This study examines the predictability of the Japanese recession using data from Japanese government bonds and stock markets. It uses a probit model to estimate Japan’s recession probability. The expected future short-term interest rate relative to the current short-term interest rate and the term premium that comprise the yield spread are both related to recessions. This research also demonstrates that stock market information can be used to predict recessions when interest rates are constrained by a lower bound. In particular, this study demonstrates that, in addition to the expected future short-term interest rate and term premium, Japanese stock market capitalization can help predict Japanese economic recessions.
Keywords: recession forecast; term spread; stock market capitalization; trading volume
JEL Classification: E32; E43; E44