Forecasting recessions using the yield curve
Published
2001
Publisher
Federal Reserve Bank of New York
Description
"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 autocorrelated errors. The more sophisticated versions of the model take into account some of the potential underlying causes of the documented predictive instability of the yield curve. We find strong evidence in favor of the more sophisticated specification, which allows for multiple breakpoints across business cycles and autocorrelation. We also develop a new approach to the construction of real time forecasting of recession probabilities"--Federal Reserve Bank of New York web site.
Frequently Asked Questions
Who is the author of Forecasting recessions using the yield curve?
Forecasting recessions using the yield curve was written by Marcelle Chauvet.
When was Forecasting recessions using the yield curve published?
The publication date for this specific edition is 2001. The original work may have been published on a different date.