T. Adrian, A. Estrella, and H. S. Shin, Monetary cycles, financial cycles and the business cycle, FRB of New York Staff Report, p.421, 2010.

R. Ahrens, Predicting recessions with interest rate spreads: a multicountry regimeswitching analysis, Journal of International Money and Finance, vol.21, pp.519-537, 2002.

T. Ando and J. Bai, Asset pricing with a general multifactor structure, Journal of Financial Econometrics, vol.13, pp.556-604, 2015.

T. Ando and J. Bai, A simple new test for slope homogeneity in panel data models with interactive effects, Economics Letters, vol.136, pp.112-117, 2015.

J. Bai, Panel data models with interactive fixed effects, Econometrica, vol.77, pp.1229-1279, 2009.

C. Bellégo and L. Ferrara, Forecasting Euro-Area Recessions Using Time-Varying Binary Response Models for Financial Markets, Banque de France Working Paper, 2009.

J. Blomquist and J. Westerlund, Testing slope homogeneity in large panels with serial correlation, Economics Letters, vol.121, pp.374-378, 2013.

B. Naceur, B. Sami, Q. Candelon, and . Lajaunie, Taming financial development to reduce crises, Emerging Markets Review, vol.40, p.100618, 2019.

J. Van-den-berg, B. Candelon, and J. Urbain, A cautious note on the use of panel models to predict financial crises, Economics Letters, vol.101, pp.80-83, 2008.

H. Bernard and S. Gerlach, Does the term structure predict recessions? The international evidence, International Journal of Finance & Economics, vol.3, pp.195-215, 1998.

G. Bry and C. Boschan, Cyclical analysis of time series: Selected procedures and computer programs, NBER, 1971.

B. Candelon, E. Dumitrescu, and C. Hurlin, Currency crisis early warning systems: Why they should be dynamic, International Journal of Forecasting, vol.30, pp.1016-1029, 2014.

B. Candelon, E. Dumitrescu, and C. Hurlin, How to evaluate an early-warning system: Toward a unified statistical framework for assessing financial crises forecasting methods, IMF Economic Review, vol.60, issue.1, pp.75-113, 2012.

M. Chauvet and S. Potter, Predicting a recession: evidence from the yield curve in the presence of structural breaks, Economics Letters, vol.77, pp.245-253, 2002.

M. Chauvet and S. Potter, Forecasting recessions using the yield curve, Journal of Forecasting, vol.24, pp.77-103, 2005.

M. Chinn and K. Kucko, The predictive power of the yield curve across countries and time, International Finance, vol.18, pp.129-156, 2015.

C. Christiansen, J. Nygaard-eriksen, and S. V. Møller, Forecasting US recessions: The role of sentiment, Journal of Banking & Finance, vol.49, pp.459-468, 2014.

G. M. Cordeiro and A. B. Simas, The distribution of Pearson residuals in generalized linear models, Computational statistics & data analysis, vol.53, pp.3397-3411, 2009.

R. W. Dimand and R. G. Betancourt, Retrospectives: Irving Fisher's Appreciation and Interest (1896) and the Fisher Relation, Journal of Economic Perspectives, vol.26, pp.185-96, 2012.

M. Dotsey, The predictive content of the interest rate term spread for future economic growth, FRB Richmond Economic Quarterly, vol.84, pp.31-51, 1998.

J. C. Driscoll and A. C. Kraay, Consistent covariance matrix estimation with spatially dependent panel data, Review of Economics and Statistics, vol.80, pp.549-560, 1998.

A. Duarte, I. A. Venetis, and I. Paya, Predicting real growth and the probability of recession in the Euro area using the yield spread, International Journal of Forecasting, vol.21, pp.261-277, 2005.

M. J. Dueker, Markov switching in GARCH processes and mean-reverting stock-market volatility, Journal of Business & Economic Statistics, vol.15, pp.26-34, 1997.

K. M. Engemann, L. Kevin, M. T. Kliesen, and . Owyang, Do oil shocks drive business cycles? Some US and international evidence, Macroeconomic Dynamics, vol.15, 2011.

O. Erdogan, P. Bennett, and C. Ozyildirim, Recession prediction using yield curve and stock market liquidity deviation measures, Review of Finance, vol.19, p.407, 2015.

A. Estrella and G. A. Hardouvelis, The term structure as a predictor of real economic activity, The Journal of Finance, vol.46, pp.555-576, 1991.

A. Estrella and F. S. Mishkin, The yield curve as a predictor of US recessions, Current issues in economics and finance, vol.2, issue.7, 1996.

A. Estrella and F. S. Mishkin, The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank, European Economic Review, vol.41, pp.1375-1401, 1997.

A. Estrella and F. S. Mishkin, Predicting US recessions: Financial variables as leading indicators, Review of Economics and Statistics, vol.80, pp.45-61, 1998.

A. Estrella, A. P. Rodrigues, and S. Schich, How stable is the predictive power of the yield curve? Evidence from Germany and the United States, Review of Economics and Statistics, vol.85, pp.629-644, 2003.

A. Estrella, Why does the yield curve predict output and inflation?, The Economic Journal, vol.115, pp.722-744, 2005.

K. M. Engemann, L. Kevin, M. T. Kliesen, and . Owyang, Do oil shocks drive business cycles? Some US and international evidence, Macroeconomic Dynamics, vol.15, 2011.

E. F. Fama, Term premiums and default premiums in money markets, Journal of Financial Economics, vol.17, pp.175-196, 1986.

. Harvey and R. Campbell, The real term structure and consumption growth, Journal of Financial Economics, vol.22, pp.305-333, 1988.

J. -. Hasse, Q. Baptiste, and . Lajaunie, EWS: Early Warning System

Y. Hwang, Forecasting recessions with time-varying models, Journal of Macroeconomics, vol.62, p.103153, 2019.

L. Karnizova and J. Li, Economic policy uncertainty, financial markets and probability of US recessions, Economics Letters, vol.125, pp.261-265, 2014.

H. Kauppi and P. Saikkonen, Predicting US recessions with dynamic binary response models, The Review of Economics and Statistics, vol.90, pp.777-791, 2008.

R. A. Kessel, The Cyclical Behavior of the Term Structure of Interest Rates, National Bureau of Economic Research, issue.91, 1965.

T. B. King, T. Andrew, R. Levin, and . Perli, Financial market perceptions of recession risk, FEDS Working Paper, 2007.

C. Lin and S. Ng, Estimation of panel data models with parameter heterogeneity when group membership is unknown, Journal of Econometric Methods, vol.1, issue.1, 2012.

L. Kilian and R. J. Vigfusson, The role of oil price shocks in causing US recessions, Journal of Money, Credit and Banking, vol.49, pp.1747-1776, 2017.

S. Menard, Applied logistic regression analysis, vol.106, 2002.

F. Moneta, Does the yield spread predict recessions in the Euro area, International Finance, vol.8, pp.263-301, 2005.

W. K. Newey and K. D. West, Hypothesis testing with efficient method of moments estimation, International Economic Review, pp.777-787, 1987.

W. K. Newey and K. D. West, Automatic lag selection in covariance matrix estimation, The Review of Economic Studies, vol.61, pp.631-653, 1994.

E. C. Ng, Forecasting US recessions with various risk factors and dynamic probit models, Journal of Macroeconomics, vol.34, pp.112-125, 2012.

S. Ng and J. H. Wright, Facts and challenges from the great recession for forecasting and macroeconomic modeling, Journal of Economic Literature, vol.51, pp.1120-54, 2013.

H. Nyberg, Dynamic probit models and financial variables in recession forecasting, Journal of Forecasting, vol.29, pp.215-230, 2010.

H. Ozturk, L. Felipe, and V. N. Pereira, Yield curve as a predictor of recessions: Evidence from panel data, Emerging Markets Finance and Trade, vol.49, pp.194-212, 2013.

B. U. Park, L. Simar, and V. Zelenyuk, Forecasting of recessions via dynamic probit for time series: replication and extension of Kauppi and Saikkonen, Empirical Economics, pp.1-14, 2008.

M. Pesaran, T. Hashem, and . Yamagata, Testing slope homogeneity in large panels, Journal of Econometrics, vol.142, pp.50-93, 2008.
URL : https://hal.archives-ouvertes.fr/hal-00501795

H. Ponka, The role of credit in predicting US recessions, Journal of Forecasting, vol.36, pp.469-482, 2017.

. R-core-team, R: A language and environment for statistical computing, R Foundation for Statistical Computing, 2020.

J. V. Rosenberg and S. Maurer, Signal or noise? Implications of the term premium for recession forecasting, Policy Review, vol.14, p.1, 2008.

G. D. Rudebusch and J. C. Williams, Forecasting recessions: the puzzle of the enduring power of the yield curve, Journal of Business & Economic Statistics, vol.27, 2009.

M. Sensier, Domestic and international influences on business cycle regimes in Europe, International Journal of Forecasting, vol.20, pp.343-357, 2004.

L. Su and Q. Chen, Testing homogeneity in panel data models with interactive fixed effects, Econometric Theory, vol.29, pp.1079-1135, 2013.

D. C. Wheelock and M. E. Wohar, Can the term spread predict output growth and recessions? A survey of the literature, Federal Reserve Bank of St. Louis Review, vol.91, pp.419-440, 2009.

J. H. Wright, The yield curve and predicting recessions, Staff working papers in the Finance and Economics Discussion Series -Federal Reserve Board, 2006.

Y. Zhang, H. J. Wang, and Z. Zhu, Quantile-regression-based clustering for panel data, Journal of Econometrics, vol.213, pp.54-67, 2019.

, Appendix 3 -The predictive power of the yield spread Figure 1: The predictive power of the yield curve from, 1999.

. Australia,

N. Zeland,

, Yield Spread Notes: This figure plots the yield curves (blue curves), observed and fitted recessions (grey areas and black curves respectively) from 1999 to 2019. Results are estimated using a dynamic logit model. Country-level results indicate that the yield spread signals recessions