Publications by R on OSM
Yield curve predictions are hard
Introduction What is a yield curve? (Skip if you already know!) Show me the data! (Start here if don’t want the background) Investing pundits like to quote the yield curve as a nearly infallible indicator for the next recession. But what do the data say? And which yield curve should you use? In this multi-part series we try to answer these que...
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Yield curve predictions are hard
Introduction What is a yield curve? (Skip if you already know!) Show me the data! (Start here if don’t want the background) Investing pundits like to quote the yield curve as a nearly infallible indicator for the next recession. But what do the data say? And which yield curve should you use? In this multi-part series we try to answer these que...
5207 sym 2 img 1 tbl
Yield curve predictions are really hard
All models are wrong Build the model In the last post, we discussed the yield curve, why investors focus on it, and looked at one measure of the curve – the spread between 10-year and 3-month Treasury yields. In this post, we build a model that tries to quantify the probability that the economy is in recession based on the 10-year/3-month spre...
5584 sym 6 img 2 tbl
Yield curve predictions are really hard
All models are wrong Build the model In the last post, we discussed the yield curve, why investors focus on it, and looked at one measure of the curve – the spread between 10-year and 3-month Treasury yields. In this post, we build a model that tries to quantify the probability that the economy is in recession based on the 10-year/3-month spre...
5584 sym 6 img 2 tbl
Yield curve predictions twist my noodle
Where did we go wrong? Not another model! As we saw in the last post, one iteration of the yield curve – the spread between 10-year and 3-month Treasuries – doesn’t generate a great model of recession probabilities. Part of this is that recessions are not that common, so we’re trying to find the veritable needle. Another problem is picki...
3673 sym R (2108 sym/1 pcs) 4 img 1 tbl
Yield curve predictions twist my noodle
Where did we go wrong? Not another model! As we saw in the last post, one iteration of the yield curve – the spread between 10-year and 3-month Treasuries – doesn’t generate a great model of recession probabilities. Part of this is that recessions are not that common, so we’re trying to find the veritable needle. Another problem is picki...
3673 sym R (2108 sym/1 pcs) 4 img 1 tbl
What do machines know about the yield curve?
A recession a year from now? As we saw in the last post, when we run a model with a 6-month look forward, it does a fairly reasonable job in predicting a recession, assuming we use a threshold closer to recession base rate. In this post, we look at 12-month look forward and then use the best of the two look forward models to test it on out-of-sa...
3404 sym R (3548 sym/1 pcs) 6 img 3 tbl
What do machines know about the yield curve?
A recession a year from now? As we saw in the last post, when we run a model with a 6-month look forward, it does a fairly reasonable job in predicting a recession, assuming we use a threshold closer to recession base rate. In this post, we look at 12-month look forward and then use the best of the two look forward models to test it on out-of-sa...
3404 sym R (3548 sym/1 pcs) 6 img 3 tbl
Stocks for some run
Motivation This string of posts is meant to help non-professional investors understand some of the complexities involved in choosing an investment strategy, suggest a logical framework on how to do just that, and offer different ways to analyze the data that motivate the strategies we’ll examine. Strategies for the long run Investment strategi...
8825 sym R (2840 sym/1 pcs) 6 img 2 tbl
Stocks for some run
Motivation This string of posts is meant to help non-professional investors understand some of the complexities involved in choosing an investment strategy, suggest a logical framework on how to do just that, and offer different ways to analyze the data that motivate the strategies we’ll examine. Strategies for the long run Investment strategi...
8825 sym R (2840 sym/1 pcs) 6 img 2 tbl