Financial Market Perceptions of Recession Risk
Financial Market Perceptions of Recession Risk, Thomas B. King, Andrew T. Levin, and Roberto Perli, 2007-57 Abstract: “Over the Great Moderation period in the United States, we find that corporate credit spreads embed crucial information about the one-year-ahead probability of recession, as evidenced by both in- and out-of-sample fit. Furthermore, the incidence of “false positive” …