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The Topology of Time Series: Improving Recession Forecasting from Yield Spreads

Pawel Dlotko, Simon Rudkin Orcid Logo

EconPapers

Swansea University Author: Simon Rudkin Orcid Logo

Abstract

Recession forecasting ranges from the simplistic inference from witnessing an inverted yield curve to sophisticated models drawing data from across the macroeconomic and financial spectra. Each has advantages, in simplicity and informativeness respectively, but each suffers for these. Demonstrating...

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Published in: EconPapers
Published: 2019
Online Access: https://econpapers.repec.org/RePEc:swn:wpaper:2019-02
URI: https://cronfa.swan.ac.uk/Record/cronfa51888
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first_indexed 2019-09-12T20:48:46Z
last_indexed 2021-03-17T04:13:38Z
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spelling 2021-03-16T12:14:49.4255547 v2 51888 2019-09-12 The Topology of Time Series: Improving Recession Forecasting from Yield Spreads 93f12293ea6ed07ae8162cf25659c5f2 0000-0001-8622-7318 Simon Rudkin Simon Rudkin true false 2019-09-12 ECON Recession forecasting ranges from the simplistic inference from witnessing an inverted yield curve to sophisticated models drawing data from across the macroeconomic and financial spectra. Each has advantages, in simplicity and informativeness respectively, but each suffers for these. Demonstrating how the properties of yield spread time series can foretell of impending recessions we introduce data topology to economics. Through an exploration of the topology of time series we highlight an untapped source of information with the potential to significantly improve understanding of the economy. Advantageously we do so without risking the overfitting of introducing other variables. Working paper EconPapers Economic Cycles, Topological Data Analysis, Periodicity, Yield Curve, Persistent Homology 4 7 2019 2019-07-04 https://econpapers.repec.org/RePEc:swn:wpaper:2019-02 Working paper available at https://econpapers.repec.org/paper/swnwpaper/2019-02.htm COLLEGE NANME Economics COLLEGE CODE ECON Swansea University 2021-03-16T12:14:49.4255547 2019-09-12T16:33:56.0794982 Faculty of Humanities and Social Sciences School of Management Pawel Dlotko 1 Simon Rudkin 0000-0001-8622-7318 2
title The Topology of Time Series: Improving Recession Forecasting from Yield Spreads
spellingShingle The Topology of Time Series: Improving Recession Forecasting from Yield Spreads
Simon Rudkin
title_short The Topology of Time Series: Improving Recession Forecasting from Yield Spreads
title_full The Topology of Time Series: Improving Recession Forecasting from Yield Spreads
title_fullStr The Topology of Time Series: Improving Recession Forecasting from Yield Spreads
title_full_unstemmed The Topology of Time Series: Improving Recession Forecasting from Yield Spreads
title_sort The Topology of Time Series: Improving Recession Forecasting from Yield Spreads
author_id_str_mv 93f12293ea6ed07ae8162cf25659c5f2
author_id_fullname_str_mv 93f12293ea6ed07ae8162cf25659c5f2_***_Simon Rudkin
author Simon Rudkin
author2 Pawel Dlotko
Simon Rudkin
format Working paper
container_title EconPapers
publishDate 2019
institution Swansea University
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management
url https://econpapers.repec.org/RePEc:swn:wpaper:2019-02
document_store_str 0
active_str 0
description Recession forecasting ranges from the simplistic inference from witnessing an inverted yield curve to sophisticated models drawing data from across the macroeconomic and financial spectra. Each has advantages, in simplicity and informativeness respectively, but each suffers for these. Demonstrating how the properties of yield spread time series can foretell of impending recessions we introduce data topology to economics. Through an exploration of the topology of time series we highlight an untapped source of information with the potential to significantly improve understanding of the economy. Advantageously we do so without risking the overfitting of introducing other variables.
published_date 2019-07-04T04:03:56Z
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score 11.035349

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