ROC approach to forecasting recessions using daily yield spreads

Author:

Lahiri KajalORCID,Yang ChengORCID

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Business and International Management

Reference34 articles.

1. Bauer, Michael D., and Thomas M. Mertens. 2018. Information in the yield curve about future recessions. Federal Reserve Bank of San Francisco Economic Letter 20: 1–5.

2. Berge, Travis J., and Òscar. Jordà. 2011. Evaluating the classification of economic activity into recessions and expansions. American Economic Journal: Macroeconomics 3 (2): 246–77.

3. Chauvet, Marcelle, and Simon Potter. 2005. Forecasting recessions using the yield curve. Journal of Forecasting 24 (2): 77–103.

4. Cooper, Daniel H., Jeffrey C. Fuhrer, and Giovanni P. Olivei. 2020. Predicting recessions using the yield curve: The role of the stance of monetary policy. Federal Reserve Bank of Boston, Current Policy Perspectives. https://www.bostonfed.org/publications/current-policy-perspectives/2020/predicting-recessions-using-the-yield-curve.aspx.

5. Crump, Richard K., Domenico Giannone, and David O. Lucca. 2020. Reading the tea leaves of the U.S. business cycle-part one. Federal Reserve Bank of New York, Liberty Street Economics February 10. https://libertystreeteconomics.newyorkfed.org/2020/02/reading-the-tea-leaves-of-the-us-business-cyclepart-one/.

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