Stats › Intraday et microstructure de marché › Yield curve signal
The yield curve recession model is two numbers and has no standard errors
| Element | Valeur |
|---|---|
| Specification | probability of recession twelve months ahead equals the normal distribution of the intercept plus the slope times the spread |
| Intercept | -0.6045 |
| Slope | -0.7374 |
| Spread definition | ten year constant maturity minus three month secondary market rate, bond equivalent |
| Horizon | twelve months |
| Estimation sample | January 1959 to December 2005 |
| Standard errors, t statistics, confidence intervals | none reported |
| Goodness of fit measure | none reported |
From a 2006 article by the model's authors. Any table converting a spread into a probability is a calculation from these two coefficients, not a published table; the article contains no such table. The model is quoted constantly and has been estimated on a sample that ended more than twenty years ago.
The central bank model that produces a recession probability from the yield curve is a probit with an intercept of minus 0.6045 and a slope of minus 0.7374, estimated to December 2005, published with no standard errors or confidence intervals.
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