Unemployment Risk
研究了美国失业率大幅上升的风险，比较了1年和3年两种时间跨度，发现中期风险与信贷增长和低失业率相关，而短期风险则与企业债券利差和收益率曲线斜率更相关。
Abstract Fluctuations in the risk of a large increase in unemployment are examined. The analysis compares medium‐term risks—that is, risks at a 3‐year horizon—to those over a 1‐year horizon. The primary approach involves quantile regressions. Robustness exercises examine risks using a logistic regression to model the probability of a large increase in the unemployment rate. U.S. experience reveals an elevated risk of large increases in unemployment over the medium term when credit growth is high and when the unemployment rate is low. Near‐term risks to unemployment are closely tied to changes in corporate bond spreads or the slope of the yield curve, consistent with research on recession prediction, but these factors do not play a sizable role in medium‐term risks. These results highlight the value of considering different near‐ and medium‐term risk factors.