The “probability of recession”: Evaluating probabilistic and non-probabilistic forecasts from probit models of U.S. recessions

This letter evaluates forecasts from probit models that use the slope of the yield curve to forecast recessions. These models give reliable non-probabilistic warnings of recessions, but the estimated probabilities do not match the conditional frequency of recession months.

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Year of publication:	2013
Authors:	Ratcliff, Ryan
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 2, p. 311-315
Publisher:	Elsevier
Subject:	Recession forecast \| Forecast evaluation \| Calibration

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Type of publication:	Article
Classification:	E3 - Prices, Business Fluctuations, and Cycles ; E4 - Money and Interest Rates ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041781