Study on the Decomposition of Chinese Term Spread and the Predictive Power of the Components of Term Spread for the Economy

2020 ◽  
Vol 7 (1) ◽  
pp. 211-241
Author(s):  
Kiryoung Lee
Keyword(s):  
Predictive Power ◽  
Term Spread ◽  
Chinese Term

scholarly journals Recession Probabilities

2016 ◽  
pp. 1-6
Author(s):  
O. Emre Ergungor
Keyword(s):  
Simple Model ◽  
Lower Bound ◽  
Interest Rates ◽  
Statistical Models ◽  
Predictive Power ◽  
Yield Curve ◽  
Short Term ◽  
Term Spread ◽  
Portfolio Constraints

Statistical models that estimate 12-month-ahead recession probabilities using the term spread have been around for many years. However, the reliability of the term spread as a predictor may have been affected by short-term interest rates being at zero. At the zero lower bound, long-term yields cannot go too far into negative territory due to the portfolio constraints of institutional investors. Therefore, the yield curve may not invert when it should or as much as it should despite the anticipated path of the economy. I enhance the simple model with two variables that should have predictive power for recessions.

Communicating the predictive power of selection and admissions measures

2008 ◽  
Author(s):  
Sara Cooper ◽  
Nathan Kuncel ◽  
Kara Siegert
Keyword(s):  
Predictive Power
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