Category Archives: Uncategorized

Term Spread, September 5, 2017

As I was compiling background notes for the new semester, I found the current level and trend in the term spread of interest.



Figure 1: Ten year minus three month Treasury spread (blue), and ten year minus two year spread (red), %. Observations for September are 9/5. NBER defined recession dates shaded gray. Source: FRED, Bloomberg, NBER and author’s calculations.

Run the probit regression

    recessiont+6 = -0.81 -0.474×(GS10-TB3MS)t + 0.065×TB3MSt + ut

over the 1967M01-2017M02 period (McFadden R2 = 0.24); the implied probability of recession is 10% for February 2018.

Using a specification without the level of the short rate included leads to a slightly higher probability, 14% or so.

The detail is also interesting. The spreads are smaller than they were in October 2016.



Figure 2: Ten year minus three month Treasury spread (blue), and ten year minus two year spread (red), %. Observations for September are 9/5. Source: FRED, Bloomberg, and author’s calculations.

“Fostering a Dynamic Global Economy”

Here at this conference today:

Friday, August 25, 2017
Chair: Susan M. Collins
Former Dean, Gerald R. Ford School of Public Policy

University of Michigan

8 a.m.
Opening Remarks

Janet L. Yellen | Speech
Chair
Board of Governors of the Federal Reserve System

8:30 a.m.
Fostering Business Dynamism and Ensuring Competitive Markets

Authors: Chang-Tai Hsieh | Paper
Professor
University of Chicago

Pete Klenow | Paper, Remarks
Professor
Stanford University

Discussant: Gita Gopinath | Remarks
Professor
Harvard University

9:05 a.m.
General Discussion

9:55 a.m.
Income Inequality and the Distribution Aspects of International Trade

Author: Nina Pavcnik | Paper, Remarks
Professor
Dartmouth College

Discussant: David Dorn | Remarks
Professor
University of Zurich

10:30 a.m.
General Discussion

10:55 a.m.
Panel on the Changing Landscape of International Trade

Panelists: Ann E. Harrison | Remarks
Professor
University of Pennsylvania

Catherine L. Mann | Remarks
Chief Economist

Organisation for Economic Co-operation and Development

Peter K. Schott | Remarks
Professor
Yale University

John Van Reenen | Paper, Remarks
Professor
Massachusetts Institute of Technology

11:55 a.m.
General Discussion

1 p.m.
Luncheon Address

Mario Draghi | Speech
President

European Central Bank

2 p.m.
Adjournment

Saturday, August 26, 2017
Chair: Randall S. Kroszner
Professor

University of Chicago

8 a.m.
Balancing Short-term Fiscal Stimulus with Longer-term Sustainability

Authors: Alan J. Auerbach | Paper
Professor

University of California-Berkeley

Yuriy Gorodnichenko| Paper
Professor
University of California-Berkeley

Discussant: Jason Furman | Remarks
Professor

Harvard University

8:35 a.m.
General Discussion

9 a.m.
Achieving Balanced Global Growth

Author: Menzie Chinn | Paper, Remarks
Professor

University of Wisconsin

Discussant:
Maurice Obstfeld |Remarks

Economic Counsellor
International Monetary Fund

10 a.m.
General Discussion

10:25 a.m.
Overview Panel

Panelists: Norman Chan | Remarks
Chief Executive
Hong Kong Monetary Authority

Timothy J. Kehoe | Remarks
Professor
University of Minnesota

Carmen M. Reinhart
Professor
Harvard University

11:25 a.m.
General Discussion

(Transitory) Revealed Preferences

Here’s the health coverage implications of President Trump’s proposal to repeal Obamacare, as assessed by the CBO:



Figure 1: Effects of H.R. 1628, THE Obamacare Repeal Reconciliation Act of 2017, on health insurance coverage of people under age 65, in millions, by calendar year. Source: CBO, Table 4.

So, at least for part of one day, the President was content to let an additional 32 million be uncovered by 2026.