Finance 3.0 - Social Network for Finance
Smart financial thinking
The Yield Curve as a Leading Indicator
The New York Federal Reserve says that research beginning in the late 1980s documents the empirical regularity that the slope of the yield curve is a reliable predictor of future real economic activity.
Today, a substantial body of evidence exists from which various useful stylized facts have emerged.
Look at the attached charts and data on the model that uses the difference between 10-year and 3-month Treasury rates to calculate the probability of a recession in the United States twelve months ahead.
Today, a substantial body of evidence exists from which various useful stylized facts have emerged.
Look at the attached charts and data on the model that uses the difference between 10-year and 3-month Treasury rates to calculate the probability of a recession in the United States twelve months ahead.
Tags: fed, recessions, yield curve
Views: 10
- Attachments:
-
-
Prob_Rec.pdf, 68 KB -
allmonth.xls, 82 KB
-
Replies to This Discussion
-
Permalink Reply by Sachidanand (Sacha) Singh on -
Prof Campbell R Harvey (of Duke) has done a lot of ground breaking work in this field including developing a model for prediction of recession and checking teh model later on out of sample data. It is strange that teh Fed review (linked in the body) gives only a passing reference to Harvey's work. Here is a list of Prof Harvey's publication: http://www.duke.edu/~charvey/research.htm
-
Permalink Reply by Paul McAteer on -
Not working. Again
-
Permalink Reply by Ali Asad Ghani on
-
It seems that there is a significant negative correlation?
Any idea regarding which method was used for calculating probability?
Continuing Education
 |
Accounting |
 |
Banking Regulations |
 |
Certification Training |
 |
Commercial Bank Management |
 |
Corporate Finance & Valuation |
 |
Treasury Management |
 |
Credit Risk Management |
 |
Financial Derivatives |
 |
Financial Institution Management |
 |
Financial Markets |
 |
Financial Modeling |
 |
Financial Planning |
 |
Market Risk Management |
 |
Operational Risk Management |
 |
Operations & Compliance |
 |
Quantitative Analysis |
 |
Strategic Financial Management |
Newsletter
Linkedin
RSS
Facebook
Widgets
Twitter© 2012 Created by Finance 3.0.
