The time evolution of inverted curves does model / forecast a future recession and not necessarily contains the current liquidity- / credit-related aspect. The historical Japanese style inverted yield curves do model the presence of forward negative rates, but do not guarantee the correct modelling of the observed negative rates.
Japanese invetred curves showed due to short rates becoming larger than the long ones and end by government intervention. An option would be to model the negative rates as mirroring the positive ones (an inversion of the inverted Japanese style curve). But the observed curves are rather due to the presence of negative rates on the yield curve and only a limited number of economies can intervene against negative rates, due to liquidity constrains.
Are the recently observed governmental yield curves being a sign a recession/credit risk or should they be modelled as due to a lack of liquidity? (...with such curves evolving into a normally-shaped yield curve, having more negative values for shorter horizons, as in the present situation for Denmark?)
October 9 2012, Bloomberg News:"State Street Corp. and Bank of New York Mellon Corp., two of the world’s biggest custody banks, will charge depositors to hold Danish kroner and Swiss francs as customers seek refuge from the crisis-stricken euro.
State Street will apply a negative interest rate of 0.75 percent annually to krone deposits starting Nov. 1, with a separate charge for francs, according to a note to clients last week. That means money managers, insurance companies and pension funds must pay the bank to hold their cash. BNY Mellon started charging for krone deposits last month"