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dc.contributor.authorHuang, Di
dc.description.abstractThis 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.publisherNorth Dakota State Universityen_US
dc.rightsNDSU Policy 190.6.2
dc.titlePredicting Recessions in the U.S. with Yield Curve Spreaden_US
dc.typeThesisen_US
dc.date.accessioned2017-12-22T18:27:31Z
dc.date.available2017-12-22T18:27:31Z
dc.date.issued2013
dc.identifier.urihttps://hdl.handle.net/10365/27126
dc.rights.urihttps://www.ndsu.edu/fileadmin/policy/190.pdf
ndsu.degreeMaster of Science (MS)en_US
ndsu.collegeScience and Mathematicsen_US
ndsu.departmentStatisticsen_US
ndsu.programStatisticsen_US
ndsu.advisorShen, Gang


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