At the same time as the Fed-NY Fed Dollar conference, the Atlanta Fed had a conference on financial markets.
Category Archives: financial markets
Private Nonfinancial Debt-Service-Ratio
In yesterday’s post, I noted a recession forecast based on a probit specification incorporating a debt-service-ratio yielded a substantially lower probability for 2024M05 than a plain vanilla specification. Part of why this is true is that the debt-service ratio is fairly low, despite high Treasury yields.
A Really Very Long Series on the Real Rate
With implications for growth and demographic influences. From Rogoff, Rossi, and Schmelzing (AER, 2024):
Over 300 Years of Central Bank Rates
An interesting picture from Jim Reid/Deutsche Bank:
Monetary Policy Rates around the World
Some pictures for Econ 442, monetary policy module.
Estimates of r*
Who thinks it’s 4% or above?
Divergence in Interest Rate Projections
CBO projection and SPF mean forecast diverge, by nearly a percentage point in 2024.
ZeroHedge Goes Adaptive Expectations
Imagine my surprise when I see a statement “rates are now barely positive according to all official inflation and rate data” in an article titled “Will the Fed Elect Biden?” and the accompanying graph:
Probability of Recession: Term Spread vs. Term Spread, DSR, Foreign Term Spread
In this post from Monday, I recounted the US results from Chinn-Ferrara (2024), using debt-service ratio data up to end-2022. The BIS has now released debt-service ratio data up to Q2. I use a regression of DSR growth rate on changes in AAA and 3 month Treasury yields, and 2 lags of DSR growth to forecast 2023Q3 DSR. I then obtain the following estimate of recession probability through 2024M09.
FT-IGM (Booth School) US Macroeconomists Survey on the Outlook
Survey results are out, for responses as of 12/4. FT article here.