The yield spread puzzle and the information content of SPF forecasts

Arbeitspapier

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 other predictors as well. We confirm the puzzle in this context by examining the contributions of both the SPF forecasts and the yield spread in predicting recessions, and by examining the information content of SPF forecasts directly. Furthermore, we take the first step towards a possible resolution of this puzzle by recognizing the heterogeneity across professional forecasters.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 3949

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods ; Interest Rates: Determination, Term Structure, and Effects ; Money and Interest Rates: Forecasting and Simulation: Models and Applications
• Subject: probability forecasts ; yield spread ; real-time data ; Konjunkturprognose ; Prognoseverfahren ; Sachverständige ; Rendite ; Zinsstruktur ; Schätzung ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lahiri, Kajal ; Monokroussos, George ; Zhao, Yongchen
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/65387
• Last update: 10.03.2025, 11:45 AM CET