Predicting a recession: Evidence from the yield curve in the presence of structural breaks

DOI10.1016/S0165-1765(02)00128-3zbMath1027.91507OpenAlexW3121968833MaRDI QIDQ1852917

Marcelle Chauvet, Simon M. Potter

Publication date: 21 January 2003

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00128-3

zbMATH Keywords

Structural breaksBayesianYield curveClassical methodsRecession forecast

Mathematics Subject Classification ID

Special types of economic markets (including Cournot, Bertrand) (91B54)

Related Items (4)

The yield curve and the macro-economy across time and frequencies ⋮ Dating US business cycles with macro factors ⋮ Uncertainty and forecasts of U.S. recessions ⋮ The power of tests of predictive ability in the presence of structural breaks

Cites Work

• Bayes factors and nonlinearity: Evidence from economic time series
• Multiperiod Probit Models and Orthogonality Condition Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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