One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper,...

Recommended readings (Machine generated): 1. Geoffrey H. Moore (1967), 'What is a Recession?', American Statistician, 21 (4), October, 16-9 -- 2. Allan P. Layton and Anirvan Banerji (2003), 'What is a Recession?: A Reprise', Applied Economics, 35 (16), 1789-97 -- 3. Arthur F. Burns and Wesley C....

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper,...