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There is No Single Best Predictor of Recessions

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Abstract

Which term spread, or term spread derived, measure is the most accurate predictor of recessions? The author conducts a robustness analysis of different spreads and shows that there is no single most accurate predictor at any horizon.

Suggested Citation

  • David S. Miller, 2019. "There is No Single Best Predictor of Recessions," FEDS Notes 2019-05-21-2, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2019-05-21-2
    DOI: 10.17016/2380-7172.2367
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/there-is-no-single-best-predictor-of-recessions-20190521.htm
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    Cited by:

    1. Kajal Lahiri & Cheng Yang, 2022. "ROC approach to forecasting recessions using daily yield spreads," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(4), pages 191-203, October.
    2. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
    3. Kajal Lahiri & Cheng Yang, 2023. "A tale of two recession-derivative indicators," Empirical Economics, Springer, vol. 65(2), pages 925-947, August.
    4. Matthieu Bussière & Stéphane Lhuissier, 2024. "What does an inversion of the yield curve tell us? [Que signifie l’inversion d’une courbe des taux ?]," Bulletin de la Banque de France, Banque de France, issue 250.
    5. Daniel H. Cooper & Jeffrey C. Fuhrer & Giovanni P. Olivei, 2020. "Predicting Recessions Using the Yield Curve: The Role of the Stance of Monetary Policy," Current Policy Perspectives 87522, Federal Reserve Bank of Boston.

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