Reassessing the Predictive Power of the Yield Spread for Recessions in the United States
更新了Rudebusch和Williams的probit模型，评估收益率差和金融状况指标在2009-2023年对经济衰退的季度预测表现，发现两者在专业预测者调查的较长预测期内表现较好。
ABSTRACT Rudebusch and Williams (2009) predict recessions in the United States utilising a probit model with the lagged yield spread as a real‐time predictor. Mindful of the importance of recent yield curve movements, we update their analysis and evaluate quarterly forecasts from their probit model up to the end of 2023. We also analyze lagged financial conditions as an alternative real‐time predictor. We find that both the yield spread and financial conditions perform relatively well at the longer horizons considered by the experts in the Survey of Professional Forecasters.