Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature

@inproceedings{Wheelock2009CanTT,
  title={Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature},
  author={David C. Wheelock and Mark Elias Wohar},
  year={2009}
}
This article surveys recent research on the usefulness of the term spread (i.e., the difference between the yields on long-term and short-term Treasury securities) for predicting changes in economic activity. Most studies use linear regression techniques to forecast changes in output or dichotomous choice models to forecast recessions. Others use time-varying parameter models, such as Markov-switching models and smooth transition models, to account for structural changes or other nonlinearities… CONTINUE READING

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