REVIEW OF FINANCE · VOL. 19, ISSUE. 1·MARCH 2015

使用收益率曲线和股票市场流动性偏差预测经济衰退

作者：Oral Erdogan, Paul Bennett, Cenktan Ozyildirim

摘要：本文通过加入股票市场的流动性偏差因素拓展了Estrella和Hardouvelis标杆式的期限利差方法来预测经济衰退。参考美国经济研究局的定义，我们使用probit模型对1959年第一季度至2011年第四季度的经济衰退进行预测。基于样本内和样本外的测试，本文发现将股票市场的流动性偏差和到期收益率结合能够显著提高对美国经济衰退发生的预测能力。此外，考虑股票市场深度的变化能够提高模型的精准度。因此，本文建议经济预测者和经济稳定政策的制定者们在研究收益率曲线之余，也要注意对股票市场的深度和流动性以及二者相互的偏离度进行监控。

关键词：收益率曲线，宏观流动性偏差，股票市场深度，经济衰退，probit模型

Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures

Oral Erdogan, Paul Bennett, Cenktan Ozyildirim

ABSTRACT

This article extends the benchmark Estrella and Hardouvelis term spread approach to recession forecasting by including the stock market macro liquidity deviation factor. We use a probit framework to predict recessions, as defined by the NBER between 1959Q1 and 2011Q4. We find that combining the yield curve parameter with the stock market liquidity deviation significantly improves our ability to predict the onset of a US recession, based both on in-sample and out-of-sample tests. In addition, changes in stock market depth further increase the accuracy of the model. We suggest that economic forecasters and those charged with conducting economic stabilization policy more generally would benefit from monitoring not only the yield curve but also stock market depth and liquidity, and their deviation from one another.

Keywords: Yield curve, macro liquidity deviation, stock market depth, recession, probit model

原文链接：

http://rof.oxfordjournals.org/content/19/1/407

翻译：金明