data_USA

data_USA contains:
- NBER based Recession Indicators for the United States from 1953:04 to 2020:01
- 10Years TB for the United States from 1953:04 to 2020:01
- 3Months TB for the United States from 1953:04 to 2020:01
- Yield Spread (10Years TB minus 3Months TB) for the United States from 1975:03 to 2019:05

datasets

The purpose of Early Warning Systems (EWS) is to detect accurately the occurrence of a crisis, which is represented by a binary variable which takes the value of one when the event occurs, and the value of zero otherwise. EWS are a toolbox for policymakers to prevent or attenuate the impact of economic downturns. Modern EWS are based on the econometric framework of Kauppi and Saikkonen (2008) <doi:10.1162/rest.90.4.777>. Specifically, this framework includes four dichotomous models, relying on a logit approach to model the relationship between yield spreads and future recessions, controlling for recession risk factors. These models can be estimated in a univariate or a balanced panel framework as in Candelon, Dumitrescu and Hurlin (2014) <doi:10.1016/j.ijforecast.2014.03.015>. This package provides both methods for estimating these models and a dataset covering 13 OECD countries over a period of 45 years. In addition, this package also provides methods for the analysis of the propagation mechanisms of an exogenous shock, as well as robust confidence intervals for these response functions using a block-bootstrap method as in Lajaunie (2021). This package constitutes a useful toolbox (data and functions) for scholars as well as policymakers.

Quentin Lajaunie

Early Warning System

data_USA function

A data frame with 268 observations on the following 5 variables.<dl class="dl-horizontal">
 <dt><code>Date</code></dt><dd>Vector of dates.</dd>
 <dt><code>X10Y</code></dt><dd>Historical 10 years Treasury bond.</dd>
 <dt><code>X3M</code></dt><dd>Historical 3 months Treasury bond.</dd>
 <dt><code>Spread</code></dt><dd>Historical yield spread.</dd>
 <dt><code>NBER</code></dt><dd>Historical binary variable related to historical recessions.</dd>
 </dl>

Format

Historical data for the United States — data_USA

A data frame with 268 observations on the following 5 variables.<dl class='dl-horizontal'>
 <dt><code>Date</code></dt><dd>Vector of dates.</dd>
 <dt><code>X10Y</code></dt><dd>Historical 10 years Treasury bond.</dd>
 <dt><code>X3M</code></dt><dd>Historical 3 months Treasury bond.</dd>
 <dt><code>Spread</code></dt><dd>Historical yield spread.</dd>
 <dt><code>NBER</code></dt><dd>Historical binary variable related to historical recessions.</dd>
 </dl>

data_USA: Historical data for the United States

Description

Usage

Arguments

Format

Examples