March 24, 2023

Did the Yield Curve Predict a 2022H1 Recession?

Figure 1: Forecasted possibility of economic downturn from 10yr-3mo term spread (blue), from 10yr-2yr term spread (tan), 10yr-3mo term spread enhanced by FCI, foreign term spread (green). NBER defined peak-to-trough economic crisis dates shaded gray. Lilac shading denotes an assumed 2022H1 economic downturn.
Description of the probit models are consisted of in this post. Keep in mind the low approximated probabilities for economic crisis ascribed to the period of 2022H1, which runs counter to the assertion of reader Steven Kopits. A recession sometime in 2023H2 is, on the other hand, not implausible



This entry was posted on November 24, 2022 by Menzie Chinn.

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