Articles by OSM

What do machines know about the yield curve?

May 3, 2019 | OSM

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...
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Yield curve predictions twist my noodle

April 18, 2019 | OSM

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 recessio...
[...Read more...]

Yield curve predictions twist my noodle

April 18, 2019 | OSM

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 recessio...
[...Read more...]

Yield curve predictions are really hard

April 16, 2019 | OSM

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...
[...Read more...]

Yield curve predictions are really hard

April 16, 2019 | OSM

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...
[...Read more...]

Yield curve predictions are hard

April 15, 2019 | OSM

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 ...
[...Read more...]

Yield curve predictions are hard

April 15, 2019 | OSM

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 ...
[...Read more...]
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