Predicting U.S. Recessions: Financial Variables as Leading Indicators
检验了利率、股价、货币总量等金融变量在预测美国经济衰退时的样本外表现，发现股价对1-3个季度后的衰退有预测力，而收益率曲线斜率在更长期限上表现最佳。
This paper examines the out-of-sample performance of various financial variables as predictors of U.S. recessions. Series such as interest rates and spreads, stock prices, and monetary aggregates are evaluated individually and in comparison with other financial and nonfinancial indicators. The analysis focuses on out-of-sample performance from one to eight quarters ahead. Results show that stock prices are useful with one- to three-quarter horizons, as are some well-known macroeconomic indicators. Beyond one quarter, however, the slope of the yield curve emerges as the clear individual choice and typically performs better by itself out of sample than in conjunction with other variables. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology