While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...

While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...

We study the information content of the University of Michigan's Index of Consumer Sentiment as well as its five components. Using household data from the Surveys of Consumers, we identify the main determinants of these indicators and document their varying role over the business cycle. Our...

This paper considers the issue of predicting cyclical turning points using real-time diffusion indexes constructed using a large data set from March 2005 to September 2014. We construct diffusion indexes at the monthly frequency, compare several smoothing and signal extraction methods, and...