-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct … recessions, the median-short yield spread trumps the long-short spread for horizons up to 17 months ahead and the yield curve … shape is nearly impressive as the median-short spread. Overall, the yield curve shape is an informative but more succinct …

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able … overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in …

variables: the dividend yield, two factors driving the one-period real interest rate and the rate of inflation. The model …