We plan to work on data of the US bond yield curve from 1977-2018. Some of the variables include the date, the values of the year curve for 1 year and 30 years maturities, and the difference between the 30 year and 1 year maturities, called the “spread”. This data was extracted from Bloomberg and is used to predict an economic recession. Yield curves are good indicators of economic recessions because if the yield curve inverts, then it is suggested that investors think it is risky to hold bonds over the short term, so they are demanding a higher yield for short term bonds.
The main question our group hopes to assess is when we can expect another economic recession. We want to create a model that can predict future recessions using this yield curve data, and combining it with other datasets on employment rate and GDP growth rate from FRED. We would also like to create a recession indicator tool (maybe using Shiny). A challenge we think we are going to face is lining up the time periods for indicators on different data sets. Additionally, when we are collaborating we need to make sure that we pull our work from the repository first prior to making changes in our local machine and then push changes. This prevents merge issues amongst our team efforts.
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