| dc.contributor.author | Huang, Di | |
| dc.description.abstract | This paper proposes a hidden Markov model for the signal of U.S. recessions. The model uses the spread of interest rate between 10-year Treasury bond and 3-month Treasury bill, together with other financial indicators which are the real M2 growth, the change in the Standard and Poor's 500 index of stock prices, and difference between the 6-month commercial paper and 6-month Treasury bill rates as predictors. The hidden Markov model considers temporal dependence between the recession signals and provides an estimate of the long-term probability of recessions. The empirical results indicate the hidden Markov model well predict the signal of recessions in the U.S. | en_US |
| dc.publisher | North Dakota State University | en_US |
| dc.rights | NDSU Policy 190.6.2 | |
| dc.title | Predicting Recessions in the U.S. with Yield Curve Spread | en_US |
| dc.type | Thesis | en_US |
| dc.date.accessioned | 2017-12-22T18:27:31Z | |
| dc.date.available | 2017-12-22T18:27:31Z | |
| dc.date.issued | 2013 | |
| dc.identifier.uri | https://hdl.handle.net/10365/27126 | |
| dc.rights.uri | https://www.ndsu.edu/fileadmin/policy/190.pdf | |
| ndsu.degree | Master of Science (MS) | en_US |
| ndsu.college | Science and Mathematics | en_US |
| ndsu.department | Statistics | en_US |
| ndsu.program | Statistics | en_US |
| ndsu.advisor | Shen, Gang | |
