Are yield-curve/monetary cycles’ approaches enough to predict recessions?
| Autor: | John Silvia, Sam Bullard, Azhar Iqbal |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Index (economics) media_common.quotation_subject Yield (finance) education 05 social sciences Inversion (meteorology) Discount points Recession Treasury 0502 economics and business Economics Econometrics Yield curve 050207 economics Business and International Management health care economics and organizations 050205 econometrics media_common |
| Zdroj: | Business Economics. 54:61-68 |
| ISSN: | 1554-432X 0007-666X |
| Popis: | This paper proposes a new framework that identifies a threshold between the fed funds rate and the 10-year Treasury yield and, when the threshold is breached, the risk of a recession in the near future is significant. Our framework predicted several recessions before the yield curve inversion point/monetary cycles’ approaches. In addition, our framework accurately forecasted peaks in the S&P 500 index. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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