Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:term spread 

Report
Predicting Recessions Using the Yield Curve: The Role of the Stance of Monetary Policy

The yield curve is often viewed as a leading indicator of recessions. While the yield curve’s predictive power is not without controversy, its ability to anticipate economic downturns endures across specifications and time periods. This note examines the predictive power of the yield curve after accounting for the current stance of monetary policy—a relevant issue given that monetary policy was unusually accommodative during the most recent yield curve inversion, in the third quarter of 2019. The results show that a yield curve inversion likely overstates the probability of a recession ...
Current Policy Perspectives

Report
What predicts U.S. recessions?

We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver operating characteristic (ROC) curve. While the Treasury term spread has the highest predictive power at horizons four to six quarters ahead, adding lagged observations of the term spread significantly improves the predictability of recessions at shorter horizons. Moreover, balances in broker-dealer ...
Staff Reports , Paper 691

FILTER BY year

FILTER BY Series

FILTER BY Content Type

Report 2 items

FILTER BY Jel Classification

C52 1 items

C53 1 items

E32 1 items

E37 1 items

E43 1 items

E44 1 items

show more (1)

FILTER BY Keywords

PREVIOUS / NEXT