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We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US over the last decades and until the third quarter of 2010. We evaluate the predictive performance of benchmark term-structure...
Persistent link: https://www.econbiz.de/10013134715
We developed a factor regression model, nicknamed “GUPTY”, to study the business cycles, and their relation to the monetary policy. It covers several major macro-economic quantities, including unemployment rate, GDP, and weekly payrolls in the U.S. after WWII. The model postulates that these...
Persistent link: https://www.econbiz.de/10012866359
The ability of term spread to forecast U.S. output growth could be improved by two ways: (i) Combining with the Harrod-Domar variable - net saving as a percentage of gross national income - that used to proxy for aggregate supply; and (ii) Using a system of simultaneous equations, in which U.S....
Persistent link: https://www.econbiz.de/10012900448
While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...
Persistent link: https://www.econbiz.de/10014164092
While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...
Persistent link: https://www.econbiz.de/10013090002
While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...
Persistent link: https://www.econbiz.de/10009630664
Yield Curves reflect the borrowing and lending rates over a range of maturities within a particular market and currency. Yield curves capture the term structure of interest rates and provide observers with a means of comparing short- and long-term interest rates.There are different types of...
Persistent link: https://www.econbiz.de/10012863474
An OLS and probit framework is used to examine the predictive power of yield spreads with respect to GDP growth and recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a direct measure of default risk, are employed as...
Persistent link: https://www.econbiz.de/10010419649
We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...
Persistent link: https://www.econbiz.de/10014284725
The spread between the yields on six-month commercial paper and six-month Treasury bills (the paper-bill spread) has been shown to be a good predictor of macroeconomic variables such as GDP and real income, at least through the mid-1980s. In this working paper, Ferderer, Vogt, and Chahil explore...
Persistent link: https://www.econbiz.de/10014222260