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ROC approach to forecasting recessions using daily yield spreads

Even though many studies have established the existence of structural breaks and declining predictability in the relationship between GDP growth and yield spreads, business analysts continue to watch for the inversion of the spread as one of the leading indicators for recessions. We use the Receivin...

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Detalles Bibliográficos
Autores principales: Lahiri, Kajal, Yang, Cheng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Palgrave Macmillan UK 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9638394/
https://www.ncbi.nlm.nih.gov/pubmed/36373026
http://dx.doi.org/10.1057/s11369-022-00287-y