Reassessing the Relative Power of the Yield Spread in Forecasting Recessions (Journal of Applied Econometrics 2016)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Dean Croushore, Katherine Marsten Reassessing the Relative Power of the Yield Spread in Forecasting Recessions Journal of Applied Econometrics 2016 6 1183–91 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 1 - accessible on journal website 1 - accessible on journal website Probit - Survey of Professional Forecasters, Real-Time Data Set for Macroeconomists up to I/2013 available at, https://www.philadelphiafed.org/research-and-data/real-time-center/survey-of-professional-forecasters/historical-data/probability-variables, Real-Time Data Set for Macroeconomists (RTDSM) consists of vintages of data series for real output (GNP before 1992, GDP since 1992) available at https://www.philadelphiafed.org/research-and-data/real-time-center/real-time-data/data-files/routput interest rate on 10-year US government Treasury bonds and interest rate on three-month Treasury bills from, Federal Reserve Economic Database (FRED), using quarterly averages 1955q1-2013q1 at https://research.stlouisfed.org/fred2/series/GS10 and https://research.stlouisfed.org/fred2/series/TB3MS USA -

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Glenn D. Rudebusch, John C. Williams Forecasting recessions: the puzzle of the enduring power of the yield curve J Business & Econ Statistics 2009 4 492–503 - Probability forecasts, Real-time, Yield spread 4 - (new methods & data) - - - -

References

DOI: 10.1002/jae.2485 IDEAS: a/wly/japmet/v31y2016i6p1183-1191.html EconPapers: RePEc:wly:japmet:v:31:y:2016:i:6:p:1183-1191


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