Why is an inverted yield curve NOT a good predictor for recessions except in the US?
I’m currently researching this topic, and I have not found any single reference that answers this (... besides my work). I will summarise what I have seen.

I would point out that from a research perspective, having the yield curve work is interesting, while a failure to predict recessions is not interesting. Very few journals publish articles on failed indicators, since the number of those is very large.

If we ignore term premia, an inverted curve normally indicates that the bond market is pricing a cut in interest rates. The way central banks react is that they normally cut rates when recessions hit. As such, we would typically expect inversions ahead of recessions. However, the logic can break down.


Bond market participants are wrong about the forecast.
The central bank cuts rates, but no recession. (U.S., 1998).
Proximity to 0% makes inversion difficult (Japan, euro area).
Central bank does not cut rates in response to recession (possible for euro periphery).
“Technical factors” in bond market lead to flat/inverted curves (U.K., Australia.) For the U.K., pensions were forced to match the liability of duration, and there was not enough supply of long-dated bonds. For Australia, the government had surpluses, and I believe that duration supply was extremely low. (Would need access to paid bond index data to validate that claim.)


The issue is therefore not U.S. versus non-U.S., it’s just that the U.S. managed to avoid most of these factors (except in 1998 in the recent history).