Are yield-curve/monetary cycles’ approaches enough to predict recessions?

Azhar Iqbal, Sam Bullard () and John Silvia ()
Additional contact information
Sam Bullard: Wells Fargo Securities, LLC
John Silvia: Wells Fargo Securities, LLC

Business Economics, 2019, vol. 54, issue 1, No 6, 68 pages

Abstract: Abstract This paper proposes a new framework that identifies a threshold between the fed funds rate and the 10-year Treasury yield and, when the threshold is breached, the risk of a recession in the near future is significant. Our framework predicted several recessions before the yield curve inversion point/monetary cycles’ approaches. In addition, our framework accurately forecasted peaks in the S&P 500 index.

Keywords: New framework; Monetary cycles; Yield curve; Recession prediction; Asset prices bubbles (search for similar items in EconPapers)
JEL-codes: E32 E43 E44 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1057/s11369-018-0100-6 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:buseco:v:54:y:2019:i:1:d:10.1057_s11369-018-0100-6

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/11369

DOI: 10.1057/s11369-018-0100-6

Access Statistics for this article

Business Economics is currently edited by Charles Steindel

More articles in Business Economics from Palgrave Macmillan, National Association for Business Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().