Predicting U. S. recessions : the housing market and 2008 recession

Abstract

Predicting U.S. recessions using the slope of the Treasury yield curve has been the focus of extensive research over the past two decades. This yield curve has consistently predicted economic downturns in the United States whenever the curve becomes flat or inverted and recent research has concluded that adding the federal funds rate produces a more accurate model. With the recent recession of 2008 and the housing market's suspected role, I use new data and add a housing index variable to previous models in order to test the correlation and improve the predictive power of the overall model. I run multiple probit regressions to estimate probabilities of a recession within a number of future quarters. I find that models that include the housing index variable in addition to the yield curve and federal funds rate variables give a better in-sample fit and performance than models that do not use it. I discuss the implication of these results in light of the recent recession, and in terms of what this could imply for the future.

Notes

This item is only available in print in the UCF Libraries. If this is your thesis or dissertation, you can help us make it available online for use by researchers around the world by downloading and filling out the Internet Distribution Consent Agreement. You may also contact the project coordinator Kerri Bottorff for more information.

Thesis Completion

2010

Semester

Spring

Advisor

Yang, Chengyu

Degree

Bachelor of Science (B.S.)

College

College of Business Administration

Degree Program

Economics

Subjects

Business Administration -- Dissertations, Academic;Dissertations, Academic -- Business Administration

Format

Print

Identifier

DP0022619

Language

English

Access Status

Open Access

Length of Campus-only Access

None

Document Type

Honors in the Major Thesis

This document is currently not available here.

Share

COinS