Yield spread selection in predicting recession probabilities

The literature on using yield curves to forecast recessions customarily uses 10‐year–3‐month Treasury yield spread without verification on the pair selection. This study investigates whether the predictive ability of spread can be improved by letting a machine learning algorithm identify the best ma...

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Veröffentlicht in:	Journal of forecasting 2023-11, Vol.42 (7), p.1772-1785
1. Verfasser:	Choi, Jaehyuk
Format:	Artikel
Sprache:	eng
Schlagworte:	Maturity Predictions Recessions Verification
Online-Zugang:	Volltext
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