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| Author | : Peter Johansson |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
In this FEDS Note, we examine the predictions of various models and recent surveys of the probability of a recession in the near term.
| Author | : Andrea Ajello |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2022 |
| Genre | : |
| ISBN | : |
Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is still accommodative, indicating a low recession probability, the negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation increases the recession probability to 60%.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2021 |
| Genre | : |
| ISBN | : 9789289945165 |
This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper develops an index in the spirit of Baker et al. (2016) and Caldara and Iacoviello (2018) which tracks developments in U.S. real activity. When used in a standard recession probability model, the index outperforms the yield curve based forecast, a standard method to forecast recessions, at medium horizons, up to 8 months. Moreover, the index contains information not included in yield data that are useful to understand recession episodes. When included as an additional control to the slope of the yield curve, it improves the forecast accuracy by 5% to 30% depending on the horizon. These results are stable to a number of different robustness checks, including changes to the estimation method, the definition of recessions and controlling for asset purchases by major central banks. Yield and textual analysis data also outperform other popular leading indicators for the U.S. business cycle such as PMIs, consumers' surveys or employment data.
| Author | : Marcelle Chauvet |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
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 break-points across business cycles and autocorrelation. We also develop a new approach to the construction of real time forecasting of recession probabilities.
| Author | : Ryan Ratcliff |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
This letter evaluates two types of forecasts from probit models that use the slope of the yield curve (“term spread”) to forecast NBER recessions, using an evaluation toolkit common in statistics and meteorology. The probit models provide excellent non-probabilistic yes/no predictions of recessions when the estimated probabilities rise above an optimally chosen threshold. In particular, in the summer of 2006, most of the models considered provided an out-of-sample prediction of the 2007 recession. However, the probabilistic forecasts (i.e. estimated probabilities) are poorly calibrated: they have little relation to the historical frequency of recession observations conditional on the level of the term spread. Thus, probit models are good at giving warning of coming recessions, but fall short of providing a meaningful frequency-based “probability of recession” along the lines of “when the term spread has been at this level in the past, 35% of observations a year later occurred during recessions.”
| Author | : Marcelle Chauvet |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2001 |
| Genre | : Business cycles |
| ISBN | : |
| Author | : Reuben A. Kessel |
| Publisher | : |
| Total Pages | : 132 |
| Release | : 1965 |
| Genre | : Business & Economics |
| ISBN | : |
| Author | : C. James Hueng |
| Publisher | : W.E. Upjohn Institute |
| Total Pages | : 133 |
| Release | : 2020-09-08 |
| Genre | : Business & Economics |
| ISBN | : 0880996765 |
Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.
| Author | : James H. Stock |
| Publisher | : University of Chicago Press |
| Total Pages | : 350 |
| Release | : 2008-04-15 |
| Genre | : Business & Economics |
| ISBN | : 0226774740 |
The inability of forecasters to predict accurately the 1990-1991 recession emphasizes the need for better ways for charting the course of the economy. In this volume, leading economists examine forecasting techniques developed over the past ten years, compare their performance to traditional econometric models, and discuss new methods for forecasting and time series analysis.
| Author | : Bandi Kamaiah |
| Publisher | : Springer |
| Total Pages | : 227 |
| Release | : 2018-01-12 |
| Genre | : Business & Economics |
| ISBN | : 9811058105 |
This book discusses wide topics related to current issues in economic growth and development, international trade, macroeconomic and financial stability, inflation, monetary policy, banking, productivity, agriculture and food security. It is a collection of seventeen research papers selected based on their quality in terms of contemporary topic, newness in the methodology, and themes. All selected papers have followed an empirical approach to address research issues, and are segregated in five parts. Part one covers papers related to fiscal and price stability, monetary policy and economic growth. The second part contains works related to financial integration, capital market volatility and macroeconomic stability. Third part deals with issues related to international trade and economic growth. Part four covers topics related to productivity and firm performance. The final part discusses issues related to agriculture and food security. The book would be of interest to researchers, academicians as a ready reference on current issues in economics and finance.
