In this research paper, I have applied various econometric time series and two machine learning models to forecast the daily data on the yield spread − the difference between the 10-year Treasury yields and the 3-month Treasury bills. First, I decomposed the yield curve into its principal...

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

Preliminary univariate and multivariate regressions, visual inspections, various relative entropy probes, and complementary Pearson correlation tests and Welch’s t-tests all suggest that the copper-to-gold ratio often embeds credible information about the 10-year U.S. Treasury yield. This...

Preliminary univariate and multivariate regressions, visual inspections, various relative entropy probes, and complementary Pearson correlation tests and Welch’s t-tests all suggest that the copper-to-gold ratio often embeds short termed credible information about the 10-year U.S. Treasury...