We compare forecasts of recessions using four different specifications of the probit model: a time-invariant conditionally independent version, a business cycle specific conditionally independent model, a time-invariant probit with autocorrelated errors, and a business cycle specific probit with...

This paper proposes a flexible framework for analyzing the joint time series properties of the level and volatility of expected excess stock returns. An unobservable dynamic factor is constructed as a nonlinear proxy for the market risk premia with its first moment and conditional volatility...

This article examines the performance of various financial variables as predictors of U.S. recessions. Series such as interest rates and spreads, stock prices, currencies, and monetary aggregates are evaluated individually and in comparison with other financial and non-financial indicators. The...

Remarks at the Whitman School of Management at Syracuse University, Syracuse, New York.

Remarks at Dominican College, Orangeburg, New York.

Remarks at the Economic Club of New York, New York City.

Remarks at Cornell University, Ithaca, New York.

Remarks at the University of Rochester, Rochester, New York.

Remarks at the Washington and Lee University H. Parker Willis Lecture in Political Economics, Lexington, Virginia.