yield curve

Yield curve and Recession Forecasting in a Machine Learning Framework

JEL codes: 
E30, E39
Version Date: 
Nov 2013
Author/s: 
Abstract: 

In this paper, we investigate the forecasting ability of the yield curve in terms of the
U.S. real GDP cycle. More specifically, within a Machine Learning (ML) framework,
we use data from a variety of short (treasury bills) and long term interest rates (bonds)
for the period from 1976:Q3 to 2011:Q4 in conjunction with the real GDP for the

Report file: 
PDF icon Download the paper (685.76 KB)