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The Theory Behind Yield Curve Prediction

Started by Epoch-Times-Bot, Jan 09, 2023, 03:30 PM

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Epoch-Times-Bot

Jan 09, 2023, 03:30 PM
The Theory Behind Yield Curve Prediction

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Since the U.S. yield curve inverted, predicting recession ahead, there have been voices again arguing "this time is different." Like previous recessions, contrarians challenged the lack of theoretical basis behind it, others accused the yield curve slope as mainly governed by Fed policy which should be the true cause of boom-bust. In terms of reasoning, this time is no different. Having said that, they all got wrong practically even though their "theories" might be correct. Since data began, the curve predicted nine recessions, with only one turning out not happening.
Although it is widely regarded that the seminal work by Arturo Estrella and Gikas A. Hardouvelis (working paper in 1989, published in 1991) was the first demonstration of a yield curve predicting a recession, Campbell R. Harvey was asserting the curve as a predictor to consumption earlier (his Ph.D. thesis in 1986, published in 1988). Despite the consumption bust not being equivalent to the recession, the concepts behind it are highly similar; most recessions were indeed consumption driven. Estrella and Hardouvelis were smart in pushing this one step further....

Source: The Theory Behind Yield Curve Prediction

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