Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures

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dc.authoridERDOGAN, ORAL/0000-0002-9508-5777|OZYILDIRIM, CENKTAN/0000-0002-0641-8630
dc.authorwosidErdogan, Oral/AAL-3208-2020
dc.authorwosidERDOGAN, ORAL/G-2900-2018
dc.contributor.authorErdogan, Oral
dc.contributor.authorBennett, Paul
dc.contributor.authorOzyildirim, Cenktan
dc.date.accessioned2024-07-18T20:45:41Z
dc.date.available2024-07-18T20:45:41Z
dc.date.issued2015
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis article extends the benchmark Estrella and Hardouvelis term spread approach to recession forecasting by including the stock market macro liquidity deviation factor. We use a probit framework to predict recessions, as defined by the NBER between 1959Q1 and 2011Q4. We find that combining the yield curve parameter with the stock market liquidity deviation significantly improves our ability to predict the onset of a US recession, based both on in-sample and out-of-sample tests. In addition, changes in stock market depth further increase the accuracy of the model. We suggest that economic forecasters and those charged with conducting economic stabilization policy more generally would benefit from monitoring not only the yield curve but also stock market depth and liquidity, and their deviation from one another.en_US
dc.identifier.doi10.1093/rof/rft060
dc.identifier.endpage422en_US
dc.identifier.issn1572-3097
dc.identifier.issn1573-692X
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-84924598712en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage407en_US
dc.identifier.urihttps://doi.org/10.1093/rof/rft060
dc.identifier.urihttps://hdl.handle.net/11411/7633
dc.identifier.volume19en_US
dc.identifier.wosWOS:000351525900010en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherOxford Univ Pressen_US
dc.relation.ispartofReview of Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectReal Activityen_US
dc.subjectTerm Structureen_US
dc.subjectFinancial Variablesen_US
dc.subjectEconomic-Activityen_US
dc.subjectUnited-Statesen_US
dc.subjectGrowthen_US
dc.subjectInflationen_US
dc.subjectReturnsen_US
dc.subjectOutputen_US
dc.subjectInvestmenten_US
dc.titleRecession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measuresen_US
dc.typeArticleen_US

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