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

被引：34

作者：

Chauvet, M ^{[1
]}

Potter, S

机构：

[1] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA

[2] Fed Reserve Bank New York, New York, NY 10045 USA

来源：

ECONOMICS LETTERS | 2002年 / 77卷 / 02期

关键词：

recession forecast; yield curve; structural breaks; Bayesian; classical methods;

D O I：

10.1016/S0165-1765(02)00128-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We use a probit model of the term structure to examine the stability of recession forecasts under the presence of a structural break. We find strong evidence of a break, but with very uncertain location, which affects considerably recession predictions. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：245 / 253

页数：9

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