This note finds a negative, non-linear relationship between bond yield and liquidity using data on Portuguese, Irish, Italian, Greek, and Spanish (PIIGS) sovereign bonds from 2010-2015. This relationship is predicted by the asymmetric information model of bond liquidity by Holmstrom (2015) and...

Which term spread, or term spread derived, measure is the most accurate predictor of recessions? The author conducts a robustness analysis of different spreads and shows that there is no single most accurate predictor at any horizon

This note introduces a general method to derive recession probabilities from forecasts using real-time data in parsimoniously specified logistic regressions. I apply two specifications of the general method that produces an implied recession probability to forecasts contained in releases of the...