Assume no recession in US through February 2023. What do term and credit spreads, financial conditions index, debt-service ratios predict at the 12 month horizon?
Category Archives: recession
Two Data Sets and Some Papers
For use in ISF 2023 course on “Modeling & Forecasting the International Dimensions”.
The Term Spread, 1970-2023M06
For reference:
Business Cycle Indicators, Mid-June
With industrial production coming in, we have the following picture of some key business cycle indicators followed by the NBER BCDC. Also included is GDPNow as of today.
Term Spread Inversion and Non-Inversions
The 10yr-3mo term spread is remarkably synchronized for some large advanced economies.
FT-Booth School June Survey of Macroeconomists: Recession Start in 2024
2023 q4/q4 growth relatively unchanged. Modal guess for recession start date moved to 2024Q1-Q2 (survey results here; FT article).
Almost Three Quarters of a Century of the Plain Vanilla Term Spread Recession Model
If you were interested.
Plain Vanilla Term Spread Model Based Recession Probabilities
Here is a picture of recession probabilities from probit regressions on 10yr-3mo and 10yr-2yr term spreads, in light of Cam Harvey’s updated views.
Are Imports a Leading or Contemporaneous Indicator of Recession?
Answer: Yes, and (to a lesser extent) Yes.
Forecasts vs. Nowcasts and the Receding Downturn
The pattern of forecasts from the Survey of Professional Forecasters over the past three quarters suggests a receding downturn. Today’s Atlanta Fed’s GDPNow for Q2 seems to confirm that no downturn occurred in 2023Q2.