The Near-Term Forward Yield Spread as a Leading Indicator: A Less Distorted Mirror
The spread between the yields on a 10-year US T-note and a 2-year T-note is commonly used as a harbinger of US recessions. We show that such “long-term spreads” are statistically dominated in forecasting models by an economically intuitive alternative, a “near-term forward spread.” This spread can b...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Routledge
2019
|
| Online Access: | View Fulltext in Publisher |