TY  - JOUR
AU  - Estrella,Arturo
AU  - Mishkin,Frederic S.
TI  - Predicting U.S. Recessions: Financial Variables as Leading Indicators
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5379
PY  - 1999
Y2  - June 1999
UR  - http://www.nber.org/papers/w5379
L1  - http://www.nber.org/papers/w5379.pdf
N1  - Author contact info:
Arturo Estrella
Department of Economics
Rensselaer Polytechnic Institute
Troy, NY  12180
Tel: 518-276-2049
E-Mail: estrea@rpi.edu

Frederic S. Mishkin
Columbia University
Graduate School of Business
Uris Hall 817
3022 Broadway
New York, NY 10027
Tel: 212-854-3488
Fax: 212/662-8474
E-Mail: fsm3@columbia.edu
AB  - This article examines the performance of various financial variables as predictors of subsequent U.S. recessions.  Series such as interest rates and spreads, stock prices, currencies, and monetary aggregates are evaluated singly and in comparison with other financial and non-financial indicators.  The analysis focuses on out-of-sample performance from 1 to 8 quarters ahead.  Results show that stock prices are useful with 1-2 quarter horizons, as are some well-known macroeconomic indicators.  Beyond 2 quarters, the slope of the yield curve emerges as the clear choice, and typically performs better by itself out of sample than in conjunction with other variables.
ER  -