Does the yield spread retain its forecasting ability during the 2007 recession? A comparative analysis

摘要: We review spread’s predictive ability by implementing a number of linear and probit models. conduct comparative analysis the forecasting performance various specifications focusing on last three major US economic slowdowns: 1990, 2001 2007. The results indicate that although models are useful in predicting 1990 decline activity, none these give signal 2007 output. Moreover, we find evidence there is more information shape yield curve about future activity than provided spread alone. also document doing well signalling onset subprime crisis they fail to capture its duration.