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.

MoreLess

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

More details

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