重新评估美国经济衰退的收益率差预测能力

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2024-12-30 DOI:10.1002/jae.3106

Patrick J. Coe, Shaun P. Vahey

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引用次数: 0

摘要

Rudebusch和Williams（2009）利用一个概率模型预测了美国的经济衰退，该模型将滞后收益率差作为实时预测指标。考虑到近期收益率曲线变动的重要性，我们更新了他们的分析，并根据他们的概率模型评估了截至2023年底的季度预测。我们还分析滞后的财务状况作为另一种实时预测指标。我们发现，在专业预测者调查专家认为的较长时间内，收益率差和金融状况都表现相对较好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Reassessing the Predictive Power of the Yield Spread for Recessions in the United States

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Reassessing the Predictive Power of the Yield Spread for Recessions in the United States

Rudebusch and Williams (2009) predict recessions in the United States utilising a probit model with the lagged yield spread as a real-time predictor. Mindful of the importance of recent yield curve movements, we update their analysis and evaluate quarterly forecasts from their probit model up to the end of 2023. We also analyze lagged financial conditions as an alternative real-time predictor. We find that both the yield spread and financial conditions perform relatively well at the longer horizons considered by the experts in the Survey of Professional Forecasters.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.