"The Term Spread As A Predictor": Comments — Brian Romanchuk

I just saw a reference to a recent article by Dean Parker and Moritz Schularick: “The Term Spread as a Predictor of Financial Instability.” The article use the Macrohistory Database by Jordà, Schularick, and Taylor to look at the behaviour of the term spread (slope) between the 3-month rate and the 10-year bond yield in a number of countries over a long history around recession/financial crisis events. As expected, the slope inverts ahead of the event. They then looked at adding other factors to create a financial crisis predictive model. My article here are more general comments about the term spread behaviour.

Bond Economics
"The Term Spread As A Predictor": Comments

Brian Romanchuk

http://www.bondeconomics.com/2021/12/the-term-spread-as-predictor-comments.html