The Perfect Recession Predictor Part 2

[WITH CODE] A multi-part series exploring the predictive power of various recession indicators through the findings of academic research

Hello!

This post is a follow up from last week’s post on popular recession indicators. Today, we will look through a paper that claims to find the “perfect” recession indicator through the construction of various forward spreads on the yield curve.

Additionally, I have created a python script that computes these spreads so that you all can use them on your own.

In the next post, we will examine how the market performs over a future period of time as yield curve spreads and other indicators change.

Let’s get into it.