Arbeitspapier
What predicts U.S. recessions?
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 operating characteristic (ROC) curve. While the Treasury term spread has the highest predictive power at horizons four to six quarters ahead, adding lagged observations of the term spread significantly improves the predictability of recessions at shorter horizons. Moreover, balances in broker-dealer margin accounts significantly improve the precision of recession predictions, especially at horizons further out than one year.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 691
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
recession predictability
ROC
term spread
leading indicators
efficient probit estimator
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Liu, Weiling
Moench, Emanuel
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Liu, Weiling
- Moench, Emanuel
- Federal Reserve Bank of New York
Entstanden
- 2014
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