TY - UNPD A1 - Fendel, Ralf A1 - Mai, Nicola A1 - Mohr, Oliver T1 - Recession probabilities for the Eurozone at the zero lower bound N2 - This paper examines the recession probabilities for the Eurozone along four different dimensions: First, we identify the best performing indicators for a recession within the next 12 months based on 43 underlying single variables and their different transformations in a benchmark model. We find that a modified version of the yield curve incorporating the shadow interest rate removes the downward rigidity of the front-leg and restores part of the informational content of the term spread at the zero lower bound. However, the best performing single indicator of the benchmark model is Real M1 followed by the Purchasing Managers Index (PMI), the investment grade corporate bond spread and the Terms of Trade. Second, the paper establishes three submodels to increase the lead-time and the stability of recession models: (i) Monetary transmission channels via principal component analysis; (ii) Bivariate regressions to identify paramount combinations; (iii) Unstable surges vis-à-vis the Hodrick-Prescott trend to detect animal spirits and hawkish mistakes. Third, the analysis is extended over various forecasting horizons (6m, 18m and 24m). Fourth, the results are analyzed from the perspective of risk-affine and risk-averse investors. T3 - WHU – Working Paper Series in Economics - WP 18/04 KW - Rezession KW - Recession KW - Wahrscheinlichkeit KW - Probability KW - Zinsdifferenz KW - Term spread KW - Nullzinsgrenze KW - Zero lower bound KW - Europäische Zentralbank KW - European Central Bank KW - Monetärer Übertragungskanal KW - Monetary transmission channel KW - Vitalität KW - Animal spirits Y1 - 2018 UR - https://opus4.kobv.de/opus4-whu/frontdoor/index/index/docId/701 UR - https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-7015 PB - WHU - Otto Beisheim School of Management CY - Vallendar ER -