ECON 490: Financial Frictions and Monetary Policy
Individual Research Project
This program calculates all partially inverted yield curves over a given time span.
Each inversion is considerted to be a predicted "recessionary window". For example, if the yield curve from a given date has a negative slope for 3-month, 6-month, and 1-year Treasury bills, then that is treated as a prediction of a recession starting on DATE + (3 months) and ending on DATE + (1 year).
| File | Description | Status |
|---|---|---|
| yield_curve_day.py | Defines the InversionPeriod_Daily class containing a date, and the inversion start and end dates. Defines the YieldCurve_Daily class containing a date, the yield rates, the inversion periods, and a function to find the inversion periods. |
|
| yield_curve_month.py | Defines the InversionPeriod_Monthly class containing a date, and the inversion start and end dates. Defines the YieldCurve_Monthly class containing a date, the yield rates, the inversion periods, and a function to find the inversion periods. |
|
| projection_check.py | Defines the RecessionProjection class containing inversion period information. Calculates alignment with the nearest actual recession. |
|
| daily_yields.py | Loads data from CSV, creates a list of YieldCurve_Day objects, and determines if there are projected recessions. | |
| monthly_yields.oy | Loads data from CSV, creates a list of YieldCurve_Month objects, and determines if there are projected recessions. |
| Directory | Items | Status |
|---|---|---|
| src | Python source files | |
| data | Data sources as CSV; from FRED | |
| output | Program output |