@article{THESIS,
      recid = {6100},
      author = {Zhu, Haoran},
      title = {The Effectiveness of Term Spread as a Predictor of  Recessions},
      publisher = {University of Chicago},
      school = {M.A.},
      address = {2023-06},
      number = {THESIS},
      abstract = {This paper is relevant for evaluating the probability of  an impending recession following multiple yield curve  inversions in 2022. Evidence of an oncoming recession is of  great interest, as policymakers may respond by adjusting  monetary and fiscal policy while market participants may  utilize it to assess investment risks. Forecasts of  impending recession also interest households and businesses  for financial planning in the near term.  My results show  that the yield curve spread for the sample period from 1972  to 2022 exhibits strong predictive power for recessions  that occurred during the 1970s and early 1980s. However,  the yield curve spread of the post-1997 sample has much  less predictive power. The real yield including the TIPs  yield and inflation-adjusted yield does not seem to have  stronger predictive power than nominal yields, which needs  further analysis due to the limit of sample size and  measurement error. Overall, the yield curve spread is still  an effective predictor of recessions. Particularly, adding  the term spread in addition to recession indicator  variables yields a better in-sample fit.},
      url = {http://knowledge.uchicago.edu/record/6100},
      doi = {https://doi.org/10.6082/uchicago.6100},
}