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Forecasting recessions: the puzzle of the enduring power of the yield curve

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Wisdom of crowds - a puzzle
    by chris dillow in Stumbling and Mumbling on 2008-01-22 20:31:11
  2. Nothing to fear but...
    by chris in Stumbling and Mumbling on 2015-08-25 17:17:50
  3. The trouble with experts
    by chris in Stumbling and Mumbling on 2017-02-13 20:13:28
  4. Big Facts in economics
    by chris in Stumbling and Mumbling on 2017-12-18 19:20:45
  5. Non-expiring information
    by chris in Stumbling and Mumbling on 2019-02-15 13:44:47
  6. The forecasting record
    by chris in Stumbling and Mumbling on 2019-02-12 13:27:57
  7. On forecasting
    by chris in Stumbling and Mumbling on 2021-01-13 16:30:53
  8. On economic intuitions
    by chris in Stumbling and Mumbling on 2021-06-10 13:45:15
  9. Stealing a living
    by chris in Stumbling and Mumbling on 2022-05-21 09:57:05
  10. All bark but no bite? What does the yield curve tell us about growth?
    by BankUnderground in Bank Underground on 2019-06-04 08:00:14

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Jeremy J. Nalewaik, 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
  2. Makram El-Shagi & Gregor Von Schweinitz, 2016. "Qual Var Revisited: Good Forecast, Bad Story," Journal of Applied Economics, Taylor & Francis Journals, vol. 19(2), pages 293-321, November.
  3. Lahiri, Kajal & Monokroussos, George & Zhao, Yongchen, 2013. "The yield spread puzzle and the information content of SPF forecasts," Economics Letters, Elsevier, vol. 118(1), pages 219-221.
  4. Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1789-1807.
  5. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  6. Clements, Michael P., 2018. "Are macroeconomic density forecasts informative?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 181-198.
  7. Soojin Jo & Rodrigo Sekkel, 2019. "Macroeconomic Uncertainty Through the Lens of Professional Forecasters," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 436-446, July.
  8. Alan Armen & Evan F. Koenig, 2015. "Assessing monetary accommodation: a simple empirical model of monetary policy and its implications for unemployment and inflation," Staff Papers, Federal Reserve Bank of Dallas, issue Dec.
  9. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
  10. Laurent Ferrara & Cl�ment Marsilli, 2013. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," Applied Economics Letters, Taylor & Francis Journals, vol. 20(3), pages 233-237, February.
  11. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  12. Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
  13. Donato Ceci & Andrea Silvestrini, 2023. "Nowcasting the state of the Italian economy: The role of financial markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
  14. Yunus Aksoy & Henrique S. Basso, 2014. "Liquidity, Term Spreads and Monetary Policy," Economic Journal, Royal Economic Society, vol. 124(581), pages 1234-1278, December.
  15. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, vol. 46(1), pages 145-174, February.
  16. Thomas Url, 2022. "Hohe Liquiditätszufuhr im Kreditwesen 2021 nur teilweise durch lebhafte Kreditnachfrage absorbiert," WIFO Monatsberichte (monthly reports), WIFO, vol. 95(4), pages 263-274, April.
  17. Marcelle Chauvet & Rafael R. S. Guimaraes, 2021. "Transfer Learning for Business Cycle Identification," Working Papers Series 545, Central Bank of Brazil, Research Department.
  18. Belanger, Gilles, 2014. "Interest Rates Rigidities and the Fisher Equation," MPRA Paper 54705, University Library of Munich, Germany.
  19. Poon, Aubrey & Zhu, Dan, 2022. "Do Recessions Occur Concurrently Across Countries? A Multinomial Logistic Approach," Working Papers 2022:11, Örebro University, School of Business.
  20. Claudio Borio & Mathias Drehmann & Dora Xia, 2018. "The financial cycle and recession risk," BIS Quarterly Review, Bank for International Settlements, December.
  21. Kajal Lahiri & Cheng Yang, 2022. "ROC approach to forecasting recessions using daily yield spreads," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(4), pages 191-203, October.
  22. Österholm, Pär, 2012. "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 76-86.
  23. Luca Benzoni & Olena Chyruk & David Kelley, 2018. "Why Does the Yield-Curve Slope Predict Recessions?," Chicago Fed Letter, Federal Reserve Bank of Chicago.
  24. Liu, Weiling & Moench, Emanuel, 2016. "What predicts US recessions?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1138-1150.
  25. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
  26. Lorenzo Boldrini & Eric Hillebrand, 2015. "The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach," CREATES Research Papers 2015-39, Department of Economics and Business Economics, Aarhus University.
  27. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
  28. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
  29. Anna Florio, 2016. "The central bank as shaper and observer of events: The case of the yield spread," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 320-346, February.
  30. Seitz, Franz & Baumann, Ursel & Albuquerque, Bruno, 2015. "The information content of money and credit for US activity," Working Paper Series 1803, European Central Bank.
  31. Shuaizhang Feng & Jiandong Sun, 2020. "Misclassification-Errors-Adjusted Sahm Rule for Early Identification of Economic Recession," Working Papers 2020-029, Human Capital and Economic Opportunity Working Group.
  32. David W. Findlay, 2024. "To Dip or Not to Dip? A Comment on Kyer and Maggs (2019)," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 30(1), pages 47-63, February.
  33. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
  34. Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
  35. Periklis Gogas & Theophilos Papadimitriou & Maria Matthaiou & Efthymia Chrysanthidou, 2015. "Yield Curve and Recession Forecasting in a Machine Learning Framework," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 635-645, April.
  36. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
  37. Evangelos Salachas & Georgios P. Kouretas & Nikiforos T. Laopodis, 2024. "The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1018-1041, July.
  38. Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
  39. Marie Bessec, 2019. "Revisiting the transitional dynamics of business cycle phases with mixed-frequency data," Econometric Reviews, Taylor & Francis Journals, vol. 38(7), pages 711-732, August.
  40. Chatterjee, Ujjal K., 2018. "Bank liquidity creation and recessions," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 64-75.
  41. Serena Ng, 2014. "Viewpoint: Boosting Recessions," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(1), pages 1-34, February.
  42. Christiansen, Charlotte, 2013. "Predicting severe simultaneous recessions using yield spreads as leading indicators," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1032-1043.
  43. Dongfeng Chang & Ryan S. Mattson & Biyan Tang, 2019. "The Predictive Power of the User Cost Spread for Economic Recession in China and the US," IJFS, MDPI, vol. 7(2), pages 1-12, June.
  44. John C. Williams, 2009. "Heeding Daedalus: Optimal Inflation and the Zero Lower Bound," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(2 (Fall)), pages 1-49.
  45. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
  46. Lahiri, Kajal & Yang, Liu, 2016. "Asymptotic variance of Brier (skill) score in the presence of serial correlation," Economics Letters, Elsevier, vol. 141(C), pages 125-129.
  47. Travis J. Berge, 2015. "Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(6), pages 455-471, September.
  48. Aastveit, Knut Are & Anundsen, André K. & Herstad, Eyo I., 2019. "Residential investment and recession predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1790-1799.
  49. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
  50. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  51. Lahiri, Kajal & Peng, Huaming & Zhao, Yongchen, 2015. "Testing the value of probability forecasts for calibrated combining," International Journal of Forecasting, Elsevier, vol. 31(1), pages 113-129.
  52. Rachidi Kotchoni & Dalibor Stevanovic, 2020. "GDP Forecast Accuracy During Recessions," Working Papers 20-06, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  53. van Os, Bram & van Dijk, Dick, 2024. "Accelerating peak dating in a dynamic factor Markov-switching model," International Journal of Forecasting, Elsevier, vol. 40(1), pages 313-323.
  54. Henri Nyberg, 2018. "Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 1-15, January.
  55. John W. Galbraith & Simon van Norden, 2009. "Calibration and Resolution Diagnostics for Bank of England Density Forecasts," CIRANO Working Papers 2009s-36, CIRANO.
  56. Davig, Troy & Hall, Aaron Smalter, 2019. "Recession forecasting using Bayesian classification," International Journal of Forecasting, Elsevier, vol. 35(3), pages 848-867.
  57. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  58. Li, Haixi & Sheng, Xuguang Simon & Yang, Jingyun, 2021. "Monitoring recessions: A Bayesian sequential quickest detection method," International Journal of Forecasting, Elsevier, vol. 37(2), pages 500-510.
  59. Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, vol. 29(1), pages 175-190.
  60. John W. Galbraith & Simon van Norden, 2008. "The Calibration of Probabilistic Economic Forecasts," CIRANO Working Papers 2008s-28, CIRANO.
  61. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
  62. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
  63. Curry, Timothy J. & Fissel, Gary S. & Hanweck, Gerald A., 2008. "Is there cyclical bias in bank holding company risk ratings?," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1297-1309, July.
  64. Leila Davis & Thomas R. Michl, 2024. "The Inverted Yield Curve in a 3-Equation Model," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 50(2), pages 195-212, April.
  65. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
  66. Herman O. Stekler & Tianyu Ye, 2017. "Evaluating a leading indicator: an application—the term spread," Empirical Economics, Springer, vol. 53(1), pages 183-194, August.
  67. Kajal Lahiri & Cheng Yang, 2023. "ROC and PRC Approaches to Evaluate Recession Forecasts," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(2), pages 119-148, September.
  68. Dalibor Stevanovic & Rachidi Kotchoni, 2016. "Forecasting U.S. Recessions and Economic Activity," CIRANO Working Papers 2016s-36, CIRANO.
  69. Kevin Moran & Simplice Aime Nono, 2016. "Using Confidence Data to Forecast the Canadian Business Cycle," Cahiers de recherche 1606, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  70. Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2023-14, Federal Reserve Bank of Atlanta.
  71. Yifeng Yan & Ju'e Guo, 2015. "The Sovereign Yield Curve and the Macroeconomy in China," Pacific Economic Review, Wiley Blackwell, vol. 20(3), pages 415-441, August.
  72. Li, He & Zhang, Zhichao & Zhang, Chuanjie, 2017. "China’s intervention in the central parity rate: A Bayesian Tobit analysis," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 612-624.
  73. Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 21-33.
  74. Yasmeen Bayaa & Mahmoud Qadan, 2024. "Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(4), pages 981-1003, December.
  75. Matthieu Bussière & Stéphane Lhuissier, 2024. "What does an inversion of the yield curve tell us? [Que signifie l’inversion d’une courbe des taux ?]," Bulletin de la Banque de France, Banque de France, issue 250.
  76. Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  77. Sabes, David & Sahuc, Jean-Guillaume, 2023. "Do yield curve inversions predict recessions in the euro area?," Finance Research Letters, Elsevier, vol. 52(C).
  78. Schlömer, Johnny Barrelli & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus, 2024. "Near-term forward rate spread and commodity index relationship with real economic activity in Brazil," Finance Research Letters, Elsevier, vol. 65(C).
  79. Lahiri, Kajal & Yang, Liu, 2013. "Forecasting Binary Outcomes," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106, Elsevier.
  80. Candelon, Bertrand & Metiu, Norbert & Straetmans, Stefan, 2013. "Disentangling economic recessions and depressions," Discussion Papers 43/2013, Deutsche Bundesbank.
  81. Lu, Ye & Suthaharan, Neyavan, 2023. "Electricity price spike clustering: A zero-inflated GARX approach," Energy Economics, Elsevier, vol. 124(C).
  82. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
  83. Alexandre Bonnet R. Costa & Pedro Cavalcanti G. Ferreira & Wagner Piazza Gaglianone & Osmani Teixeira C. Guillén & João Victor Issler & Artur Brasil Fialho Rodrigues, 2023. "Predicting Recessions in (almost) Real Time in a Big-data Setting," Working Papers Series 587, Central Bank of Brazil, Research Department.
  84. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
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  86. Bluwstein, Kristina & Buckmann, Marcus & Joseph, Andreas & Kapadia, Sujit & Şimşek, Özgür, 2023. "Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach," Journal of International Economics, Elsevier, vol. 145(C).
  87. Ralf Fendel & Nicola Mai & Oliver Mohr, 2021. "Recession probabilities for the Eurozone at the zero lower bound: Challenges to the term spread and rise of alternatives," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1000-1026, September.
  88. Daniel H. Cooper & Jeffrey C. Fuhrer & Giovanni P. Olivei, 2020. "Predicting Recessions Using the Yield Curve: The Role of the Stance of Monetary Policy," Current Policy Perspectives 87522, Federal Reserve Bank of Boston.
  89. Hwang, Youngjin, 2019. "Forecasting recessions with time-varying models," Journal of Macroeconomics, Elsevier, vol. 62(C).
  90. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 21-60, December.
  91. Feng, Shuaizhang & Sun, Jiandong, 2020. "Misclassification-Errors-Adjusted Sahm Rule for Early Identification of Economic Recession," IZA Discussion Papers 13168, Institute of Labor Economics (IZA).
  92. Ray C. Fair, 2009. "Analyzing Macroeconomic Forecastability," Cowles Foundation Discussion Papers 1706, Cowles Foundation for Research in Economics, Yale University, revised Aug 2010.
  93. Adam Clements & Joanne Fuller & Stan Hurn, 2013. "Semi-parametric Forecasting of Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 89(287), pages 508-521, December.
  94. Heikki Kauppi, 2019. "Recession Prediction with OptimalUse of Leading Indicators," Discussion Papers 125, Aboa Centre for Economics.
  95. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
  96. Jaehyuk Choi & Desheng Ge & Kyu Ho Kang & Sungbin Sohn, 2021. "Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach," Papers 2101.09394, arXiv.org, revised Jan 2022.
  97. Giusto, Andrea & Piger, Jeremy, 2017. "Identifying business cycle turning points in real time with vector quantization," International Journal of Forecasting, Elsevier, vol. 33(1), pages 174-184.
  98. Albuquerque, Bruno & Baumann, Ursel & Seitz, Franz, 2016. "What does money and credit tell us about real activity in the United States?," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 328-347.
  99. Dean Croushore & Katherine Marsten, 2016. "Do GDP Forecasts Respond Efficiently to Changes in Interest Rates?," Working Papers 16-17, Federal Reserve Bank of Philadelphia.
  100. Wojnilower, Joshua, 2018. "On credit and output: Is the supply of credit relevant?," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 38-56.
  101. Mirko Abbritti & Juan Equiza & Antonio Moreno & Tommaso Trani, 2024. "Downturns and changes in the yield slope," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 673-701, April.
  102. Chatterjee, Ujjal K. & Zirgulis, Aras & Hüttinger, Maik & French, Joseph J., 2024. "Reassessing the inversion of the Treasury yield curve as a sign of U.S. recessions: Insights from the housing and credit markets," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  103. Manqoba Ntshakala & Laurence Harris, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series wp-2018-63, World Institute for Development Economic Research (UNU-WIDER).
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  107. Leo Krippner & Michelle Lewis, 2018. "Real-time forecasting with macro-finance models in the presence of a zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2018/04, Reserve Bank of New Zealand.
  108. James Morley, 2016. "Macro-Finance Linkages," Journal of Economic Surveys, Wiley Blackwell, vol. 30(4), pages 698-711, September.
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  110. Knut Lehre Seip & Dan Zhang, 2021. "The Yield Curve as a Leading Indicator: Accuracy and Timing of a Parsimonious Forecasting Model," Forecasting, MDPI, vol. 3(2), pages 1-16, May.
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  112. Oscar Jorda & Travis Berge, 2009. "The Classification of Economic Activity into Expansions and Recessions," Working Papers 308, University of California, Davis, Department of Economics.
  113. Döpke, Jörg & Fritsche, Ulrich & Pierdzioch, Christian, 2017. "Predicting recessions with boosted regression trees," International Journal of Forecasting, Elsevier, vol. 33(4), pages 745-759.
  114. Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
  115. Cláudio Tadeu Cristino & Piotr Żebrowski & Matthias Wildemeersch, 2020. "Assessing the time intervals between economic recessions," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-20, May.
  116. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  117. Lohrmann, Christoph & Luukka, Pasi, 2019. "Classification of intraday S&P500 returns with a Random Forest," International Journal of Forecasting, Elsevier, vol. 35(1), pages 390-407.
  118. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
  119. Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
  120. Mario Meichle & Angelo Ranaldo & Attilio Zanetti, 2011. "Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 435-453, December.
  121. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  122. Gregory de Walque & Thomas Lejeune & Ansgar Rannenberg, 2023. "Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets," Working Paper Research 433, National Bank of Belgium.
  123. Travis J. Berge & Òscar Jordà, 2011. "Evaluating the Classification of Economic Activity into Recessions and Expansions," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 246-277, April.
  124. Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
  125. Chatterjee, Ujjal Kanti & Bazzana, Flavio, 2024. "Do corporate credit spreads predict the real economy?," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 272-286.
  126. Feng, Shuaizhang & Sun, Jiandong, 2020. "Misclassification-errors-adjusted Sahm Rule for Early Identification of Economic Recession," GLO Discussion Paper Series 523, Global Labor Organization (GLO).
  127. Emanuel Kohlscheen & Aaron Mehrotra & Dubravko Mihaljek, 2020. "Residential Investment and Economic Activity: Evidence from the Past Five Decades," International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 287-329, December.
  128. Werner Ehm & Tilmann Gneiting & Alexander Jordan & Fabian Krüger, 2016. "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 505-562, June.
  129. Michael T. Kiley, 2020. "Financial Conditions and Economic Activity: Insights from Machine Learning," Finance and Economics Discussion Series 2020-095, Board of Governors of the Federal Reserve System (U.S.).
  130. Proaño, Christian R. & Theobald, Thomas, 2014. "Predicting recessions with a composite real-time dynamic probit model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 898-917.
  131. Marcell Peter Granat & Gabor Neszveda & Dorottya Szabo, 2023. "An Empirical Analysis of the Predictive Power of European Yield Curves," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 22(3), pages 48-66.
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