Predicting a recession: Evidence from the yield curve in the presence of structural breaks

Economics Letters

Volumn 77, Issue 2, 2002, Pages 245-253

  Chauvet, Marcelle ^a   Potter, Simon ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b FEDERAL RESERVE BANK OF NEW YORK   (United States)

Author keywords

Bayesian; Classical methods; Recession forecast; Structural breaks; Yield curve

Indexed keywords

EID: 0036791376     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(02)00128-3     Document Type: Article

References (10)

1. Avery, R.B., Hansen, L.P., Hotz, V.J., 1983. Multiperiod probit models and orthogonality condition estimation. International Economic Review 24 (1), 21-35.
2. Chauvet, M., Potter, S., 2001. Forecasting recessions using the yield curve. Working Paper, University of California, Riverside.
3. Estrella, A., Rodrigues, A., 1998. Consistent covariance matrix estimation in probit models with autocorrelated errors. Federal Reserve Bank of New York Staff Report, 39.
4. Estrella, A., Mishkin, F.S., 1998. Predicting U.S. recessions: financial variables as leading indicators. The Review of Economics and Statistics 80, 45-61.
5. Estrella, A., Rodrigues, A.P., Schich, S., 2000. How stable is the predictive power of the yield curve? Mimeo, Federal Reserve Bank of New York.
6. Hall, R., 2001. "Recessions," memo April 6 2001 at www.standford.edu/~rehall/recession%20mono%204-6-01.pdf
7. Koop, G., Potter, S.M., 1999. Bayes factors and nonlinearity: evidence from economic time series. Journal of Econometrics 88, 251-281.
8. McConnell, M., Perez-Quiros, G., 2000. Output fluctuations in the United States: what has changed since the early 1980s? American Economic Review 90 (5), 1464-1476.
9. Newey, W., West, K., 1987. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
10. Stock, J.H., Watson, M.W., 2000. Forecasting output and inflation: the role of asset prices. Mimeo, Kennedy School of Government, Harvard University.