Strengthening the case for the yield curve as a predictor of U.S. recessions
AbstractPast experience has led financial market participants to believe that future interest rates will be closely related to the performance of the economy. If so, the shape of the yield curve ought to summarize the implicit economic forecasts of a broad range of bond traders. Previous research has demonstrated that, relative to carefully tailored forecasting variables such as the index of leading indicators, the yield curve is an excellent predictor of recessions. In this article, Michael Dueker shows that the predictive power of the yield curve does not diminish when examined in the context of econometric models with more sophisticated baseline forecasts.
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Bibliographic InfoArticle provided by Federal Reserve Bank of St. Louis in its journal Review.
Volume (Year): (1997)
Issue (Month): Mar ()
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Indian and Brazilian Yield Curves Invert, Hint at â??Monstrous Risksâ?
by admin in HistorySquared on 2011-06-11 06:09:00
- Summary of Research on the Usefulness of using the Yield Curve in Macro Forecasting
by admin in HistorySquared on 2011-02-10 17:51:54
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