Forecasting Recessions Using the Yield Curve
نویسندگان
چکیده
منابع مشابه
Forecasting Recessions Using the Yield Curve
We compare forecasts of recessions using four different specifications of the probit model: a time invariant conditionally independent version; a business cycle specific conditionally independent model; a time invariant probit with autocorrelated errors; and a business cycle specific probit with autocorrelated errors. The more sophisticated versions of the model take into account some of the po...
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The slope of the Treasury yield curve has often been cited as a leading economic indicator, with inversion of the curve being thought of as a harbinger of a recession. In this paper, I consider a number of probit models using the yield curve to forecast recessions. Models that use both the level of the federal funds rate and the term spread give better insample fit, and better out-of-sample pre...
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Economists often use complex mathematical models to forecast the path of the U.S. economy and the likelihood of recession. But simpler indicators such as interest rates, stock price indexes, and monetary aggregates also contain information about future economic activity. In this edition of Current Issues, we examine the usefulness of one such indicator—the yield curve or, more specifically, the...
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Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts often resulted in a trade-off between goodness of fit and consistency with economic theory. To address this, herein we propose a novel formulation which conn...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.274202