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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …
Persistent link: https://www.econbiz.de/10010441139
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Inflation Uncertainty and Disagreement in Bond Risk Premia
D'Amico, Stefania - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …
Persistent link: https://www.econbiz.de/10013040031
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Monetary policy, inflation outlook, and recession probabilities
Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022
yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in … negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation …
Persistent link: https://www.econbiz.de/10013279282
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MIDAS regressions with time-varying parameters : an application to corporate bond spreads and GDP in the Euro area ; conference paper
Schumacher, Christian - 2014 - 3 February 2014
Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. To account for temporal instabilities in this relationship, this paper discusses an extension to MIDAS with time-varying parameters, which...
Persistent link: https://www.econbiz.de/10010481353
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What predicts U.S. recessions?
Liu, Weiling; Mönch, Emanuel - 2014
We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver...
Persistent link: https://www.econbiz.de/10010404520
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A non-linear forecast combination procedure for binary outcomes
Lahiri, Kajal; Yang, Liu - 2015
We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...
Persistent link: https://www.econbiz.de/10010475341
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The yield curve as a predictor of economic activity in Mexico: the role of the term premium
Ibarra-Ramírez, Raúl - 2021
This paper analyzes whether there exists a relationship between the slope of the yield curve and future economic activity in Mexico for the period 2004-2019. In particular, we evaluate whether such relationship depends on the term premium. For this purpose, we estimate a threshold model in which...
Persistent link: https://www.econbiz.de/10012584159
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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
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Signal or Noise? Implications of the Term Premium for Recession Forecasting
Rosenberg, Joshua V.; Maurer, Samuel - 2008
Since the 1970s, an inverted yield curve has been a reliable signal of an imminent recession. One interpretation of this signal is that markets expect monetary policy to ease as the Federal Reserve responds to an upcoming deterioration in economic conditions. Some have argued that the yield...
Persistent link: https://www.econbiz.de/10014217647
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Machine Learning, the Treasury Yield Curve and Recession Forecasting
Puglia, Michael; Tucker, Adam - 2020
We use machine learning methods to examine the power of Treasury term spreads and other financial market and macroeconomic variables to forecast US recessions, vis-à-vis probit regression. In particular we propose a novel strategy for conducting cross-validation on classifiers trained with...
Persistent link: https://www.econbiz.de/10014096057