Signal or Noise? Implications of the Term Premium for Recession Forecasting

[...]This article investigates whether changes in the termpremium tend to distort the term spread’s recession signals.3We begin by decomposing the term spread into an expectationscomponent and a term premium component, based on the Kimand Wright (2005) term premium estimates. Next, we constructrecession forecasting models based on these components,following the approach of Estrella and Hardouvelis.

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Year of publication:	2008-07-01
Authors:	Rosenberg, Joshua V. ; Maurer, Samuel Friedrich
Institutions:	Federal Reserve Bank <New York, NY>
Published in:	London School of Economics and Political Science - Publications FRBNY Economic Policy Review / July 2008, pp 1-11
Subject:	Zinsfuß \| Konjunkturprognose \| Erwartung \| Rezession \| Finanzmanagement \| financial management

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Extent:	222208 bytes 11 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Specific management methods ; Corporate growth, plant size and choice of location ; Corporate finance and investment policy. General ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005869646