收益率曲线作为经济衰退的先行指标。梯度增强与随机森林的应用

Int. J. Interact. Multim. Artif. Intell. Pub Date : 2022-03-13 DOI:10.9781/ijimai.2022.02.006

Pedro Cadahia Delgado, E. Congregado, A. Golpe, José Carlos Vides

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引用次数: 2

摘要

自上世纪80年代以来，经济危机更频繁、更深刻。在这方面，研究人员和实践者试图以不同的方式理解、建模甚至预测衰退。文献中提出并被经济学家采用的一种流行的预测工具是分析收益率曲线的斜率或期限价差，即长期和短期利率之差。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Yield Curve as a Recession Leading Indicator. An Application for Gradient Boosting and Random Forest

INCE the decade of the '80s, economic crises have been more recurrent and deeper. In this respect, researchers and practitioners have tried to understand, model, and even predict a recession differently. One popular forecasting tool suggested in the literature and followed by economists is the analysis of the slope of the yield curve or the term spread, i.e., the difference between longterm and short-term interest rates [1].

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Int. J. Interact. Multim. Artif. Intell.

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