“The Predictive Power of the Yield Curve, Factors and Foreign Interest Rates for Economic Activity across Countries”

Presentation of paper by coauthor Laurent Ferrara and myself, today at International Symposium on Forecasting 2023

One picture (detail) to be shown:

Figure 1: Reported year-on-year Industrial production (black), out-of-sample ex post simulation for term spread/short rate (blue), specification augmented with Chicago Fed NFCI and foreign term spread (red), and specification yet adding debt-service ratio (only through end 2022) (green).

Figure 1 differs slightly from information reported in the paper, as I replace the Aroggoni, Bobasu, Venditti equal-weighted FCI with the Chicago Fed NFCI which is available to last month (the Arrigoni et al. series only available to 2020M05).

Recession prediction (where recession defined by NBER) here (in-sample fit).

Slides here — post comments — to follow yet later).


9 thoughts on ““The Predictive Power of the Yield Curve, Factors and Foreign Interest Rates for Economic Activity across Countries”

    1. pgl

      Across the U.S. brands like Ben and Jerry’s, Cheetos and Fruit of the Loom have children working in their factories. According to the NYT, “ They run milking machines in Vermont and deliver meals in New York City. They harvest coffee and build lava rock walls around vacation homes in Hawaii. Girls as young as 13 wash hotel sheets in Virginia.”

      As much as I love Ben and Jerry’s ice cream I cannot buy products from a heartless company exploiting child labor.

      1. Moses Herzog

        Ben and Jerry would tell you they did it for the kid. “What else could the child do??~~aimless in a foreign country with limited skills. Our company gave them a life-raft for economic survival!!!!” Are they paying taxes on the labor?? Are they bullying the labor because they can’t get legal protection?? It’s a very convenient relationship, and the same Republicans who bitch 24/7/365 about illegal imigration have no interest in enforcing the laws on employers~~because if Republican legislators enforced the immigration laws and punished employers, in less than 3–5 years the illegal immigration numbers would have a graph line that dropped off the edge of a cliff. Mind you, not many economists discuss how quickly and broadly the numbers would drop if the laws were enforced on employers of illegal immigrants and child labor. Economists are apparently too busy convincing us the FOMC is on a goodwill mission for EME and developing nations. And that last point is crucial that everyone know. Don’t forget your pompoms.

        1. Ivan

          Florida cannot get people to harvest their products because of the “tough on immigrants” policies. That is likely to be the beginning of the end for their governor and his national dreams.

          1. Moses Herzog

            Desantis’s problem is he is similar to Hillary Clinton. He is a shitty campaigner. He could start off the race #1 candidate June of ’23 and by January ’24 be gasping for air in 4th place. He has no idea what the F— he is doing and neither does his Machiavelli want-to-be wife.

  1. Macroduck

    Big news from the Supreme Court today:


    Norfolk Southern argued that it can only be sued in the state in which it is incorporated, rather than in the state where an alleged crime or harm was committed. In a 5-4 non-partisan ruling (what?), the Court told NS to soak its head. Takes some of the fun out of shopping for favorable jurisdictions.

  2. Macroduck

    Teamsters are readying a strike against UPS. Teamsters have named Friday as the deadline for a final contract offer, what with needing time to show the offer to members and all that, but the current contract doesn’t actually expire until midnight, July 31:


    We’ve known this was coming for months, as have both parties to the negotiations and the White House. Last November, Biden called in Congress to prevent a rail strike to avoid economic disruption. Unions weren’t happy. I’m not aware of any power Congress has to prevent the UPS strike.

    The numbers involved are big. As many as 340,000 workers may strike, reportedly the biggest single-employer labor action in U.S. history. UPS deliveries amount to roughly 6% of U.S. GDP.

    A strike would come as demand for new workers in transportation and warehousing has cooled:


    Strikes are way up right now from a year ago, but it’s worth remembering how really low strike activity has been in recent decades:


  3. Moses Herzog

    Lots of this coup have been confusing to me. This is one of the better breakdowns I have seen:

    The major question entering my mind is, “Is Prigozhin really in Belarus??” Personally, I doubt it. A trip to Belarus for Prigozhin is certain suicide. Belarus is 100% controlled by Russian security forces. There’s no way out of Putin’s claws if Prigozhin is in Belarus. And I think Prigozhin is way too smart to do something so extremely dumb as to find himself in Belarus.

    Too bad our Russian expert of Harrisonburg isn’t here to reply to my thoughts. He surely could have told me I have it all wrong because “Belarus is not Romania”, insiders told him Prigozhin was on his way to Hawaii, and other such constructive “value added” comments that only a PhD “expert on Russia” could grasp.

    In other news, Elvira Nabiullina is STILL head of Russia’s Central Bank
    Nabiullina has now been declared by the Comparative Economics Dept of James Madison University as “The Eighth Wonder of the World”. What a prestigious honor. Good on her.

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