Reassessing the Relative Power of the Yield Spread in Forecasting Recessions (JAE 2016)

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|articletitle=[http://dx.doi.org/10.1002/jae.2485 Reassessing the Relative Power of the Yield Spread in Forecasting Recessions]
 
|articletitle=[http://dx.doi.org/10.1002/jae.2485 Reassessing the Relative Power of the Yield Spread in Forecasting Recessions]
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|aread=1 - accessible on journal website
 
|aread=1 - accessible on journal website
 
|amethods=Probit
 
|amethods=Probit
|adataused=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 U.S. government Treasury bonds and interest rate on three-month Treasury bills from FRED database maintained by Federal Reserve Bank of St. Louis, using quarterly averages 1955q1-2013q1 at https://research.stlouisfed.org/fred2/series/GS10 and  https://research.stlouisfed.org/fred2/series/TB3MS
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|adataused=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
 
|aorigin=USA
 
|aorigin=USA
 
|replicationauthors=Glenn D. Rudebusch, John C. Williams
 
|replicationauthors=Glenn D. Rudebusch, John C. Williams

Latest revision as of 10:56, 16 September 2019



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 JAE 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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