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Patrick Coe
;
Shaun Vahey

reassessing the predictive power of the yield spread for recessions in the united states (replication data)

Details of the Data and Code for this paper are in readme_cv.pdf.

Abstract Rudebusch and Williams (2009, RW) predict recessions in the United States utilising a probit model with the lagged yield spread as a real-time predictor. Mindful of the importance of recent yield curve movements, we update their analysis and evaluate quarterly forecasts from their probit model up to the end of 2023. We also analyse lagged financial conditions as an alternative real-time predictor. We find that both the yield spread and financial conditions perform relatively well at the longer horizons considered by the experts in the Survey of Professional Forecasters.

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Coe, Patrick; Vahey, Shaun (2024): Reassessing the Predictive Power of the Yield Spread for Recessions in the United States (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2024325.1538071529