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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP16357 |
DP16357 Equity premium predictability over the business cycle | |
Tobias Stein | |
发表日期 | 2021-09-12 |
出版年 | 2021 |
语种 | 英语 |
摘要 | The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using the term spread as predictor time the beginning of recessions well. We show that such model-implied recession probabilities strongly improve equity premium prediction out-of-sample. We document a structural break in the mean of the term spread in 1982. When correcting for this break, the forecast performance further strengthens, outperforming other recently proposed benchmark predictors. |
主题 | Financial Economics |
关键词 | Recession predictability Return predictability Business cycle Probit model Term spread |
URL | https://cepr.org/publications/dp16357-0 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545489 |
推荐引用方式 GB/T 7714 | Tobias Stein. DP16357 Equity premium predictability over the business cycle. 2021. |
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