Machine Learning, the Treasury Yield Curve and Recession Forecasting
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DOI: 10.17016/FEDS.2020.038
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References listed on IDEAS
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More about this item
Keywords
Shapley; Probit; XGBoost; Treasury yield curve; neural networks; LightGBM; Recession; Tree ensemble; Support-vector machine; Random forest;All these keywords.
JEL classification:
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-06-15 (Big Data)
- NEP-CMP-2020-06-15 (Computational Economics)
- NEP-ECM-2020-06-15 (Econometrics)
- NEP-FOR-2020-06-15 (Forecasting)
- NEP-MAC-2020-06-15 (Macroeconomics)
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