In a project with Laurent Ferrara, we have been examining the properties of financial indicators as predictors of (NBER defined) recessions. In addition to the term spread, we have considered Financial Conditions Indices (Arrigoni-Bobasu-Venditti, Goldman Sachs), the foreign term spread (a la Ahmed-Chinn) and the BIS debt service ratio (suggested by Borio-Drehmann-Xia). Slides from presentation in June here.
Category Archives: financial markets
Term Spread Watch – Is This Time Different?
A reporter for Marketplace (hear piece at 10 minutes in) asked me today whether this time was different, especially in light of all the positive coincident indicators (Q3 GDPNow has been at 5.6% for a couple weeks; Fed staff has upgraded q4/q4 growth, Goldman Sachs pegs recession probability at 15%). I was (I hope properly) circumspect.
Velocity, 1967-2023Q2
The variability of velocity calculated using divisia money indices is not necessarily lower than that using a conventional monetary aggregate, i.e., M2.
Guest Contribution: “The crypto cycle and US monetary policy”
Today we are fortunate to present a guest post written by Natasha Che, Alexander Copestake and Davide Furceri (all at the International Monetary Fund) and Tammaro Terracciano (IESE Business School, Barcelona). The views expressed in this paper are those of the authors and not necessarily those of the institutions with which they are affiliated.
Two Graphs of Real Rates
Long term real rates predicted, and r*.
Guest Contribution: “The End of Zero Interest Rates”
Today, we present a guest post written by Jeffrey Frankel, Harpel Professor at Harvard’s Kennedy School of Government, and formerly a member of the White House Council of Economic Advisers. A shorter version appeared at Project Syndicate.
When Next You Have to Teach Mundell-Fleming
What is your answer to the question: How Close to Full Capital Mobility Are We?
Guest Contribution: Model update and disagreement among recession models
Today we are fortunate to be able to present a guest contribution written by Rashad Ahmed (Office of the Comptroller of the Currency, US Treasury). The views presented are solely those of the author, and do not necessarily represent the views of the US Treasury, or any other organizations the author is affiliated with.
Treasury Yield Forecasts and Projections: CBO vs. Economists’ Consensus
CBO above market?
Term Spreads for Country Groupings
US, Rest-of-Advanced, Emerging Markets, follow up on individual countries’ term spreads in yesterday’s post.