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Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach

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  • Venetis, Ioannis A.
  • Paya, Ivan
  • Peel, David A.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 12 (2003)
Issue (Month): 2 ()
Pages: 187-206

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Handle: RePEc:eee:reveco:v:12:y:2003:i:2:p:187-206

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Web page: http://www.elsevier.com/locate/inca/620165

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References

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  1. Roma, Antonio & Torous, Walter, 1997. " The Cyclical Behavior of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 52(4), pages 1519-42, September.
  2. James H. Stock & Mark W. Watson, 1994. "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers 0164, National Bureau of Economic Research, Inc.
  3. Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000. "Time-Varying Smooth Transition Autoregressive Models," Working Paper Series in Economics and Finance 376, Stockholm School of Economics.
  4. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, Elsevier, vol. 17(1), pages 57-69.
  5. Frederique Bec, 2000. "Nonlinear Economic Policies: Pitfalls in the Lucas Critique Empirical Counterpart," Econometric Society World Congress 2000 Contributed Papers 1401, Econometric Society.
  6. Nadir Ocal & Denise R. Osborn, 2000. "Business cycle non-linearities in UK consumption and production," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(1), pages 27-43.
  7. Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
  8. Michael Dotsey, 1998. "The predictive content of the interest rate term spread for future economic growth," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 31-51.
  9. Galbraith, John W. & Tkacz, Greg, 2000. "Testing for asymmetry in the link between the yield spread and output in the G-7 countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(5), pages 657-672, October.
  10. Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
  11. Barry Cozier & Greg Tkacz, 1994. "The Term Structure and Real Activity in Canada," Macroeconomics, EconWPA 9406001, EconWPA, revised 23 Jun 1994.
  12. Orphanides, Athanasios & Wilcox, David W, 2002. "The Opportunistic Approach to Disinflation," International Finance, Wiley Blackwell, vol. 5(1), pages 47-71, Spring.
  13. Joseph G. Haubrich & Ann M. Dombrosky, 1996. "Predicting real growth using the yield curve," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 26-35.
  14. Fuhrer, Jeffrey C & Moore, George R, 1995. "Monetary Policy Trade-offs and the Correlation between Nominal Interest Rates and Real Output," American Economic Review, American Economic Association, vol. 85(1), pages 219-39, March.
  15. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
  16. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 59-75, September.
  17. Plosser, Charles I. & Geert Rouwenhorst, K., 1994. "International term structures and real economic growth," Journal of Monetary Economics, Elsevier, Elsevier, vol. 33(1), pages 133-155, February.
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Citations

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Cited by:
  1. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 419-440.
  2. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, Elsevier, vol. 37(C), pages 333-344.
  3. Mateus A. Feitosa & Benjamin M. Tabak, 2007. "Predictability Of Economic Activity Using Yield Spreads: The Case Of Brazil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Gr 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  4. Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005. "The term structure as a predictor of real activity and inflation in the euro area: a reassessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 177-92 Bank for International Settlements.
  5. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Omay, Tolga, 2008. "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper 28572, University Library of Munich, Germany.
  7. Paya, Ivan & Matthews, Kent & Peel, David, 2005. "The term spread and real economic activity in the US inter-war period," Journal of Macroeconomics, Elsevier, Elsevier, vol. 27(2), pages 331-343, June.
  8. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  9. Daiki Maki, 2006. "Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1301-1307.
  10. Gogas, Periklis & Chionis, Dionisios & Pragkidis, Ioannis, 2009. "Predicting European Union recessions in the euro era: The yield curve as a forecasting tool of economic activity," MPRA Paper 13911, University Library of Munich, Germany.
  11. Periklis Gogas & Ioannis Pragidis, 2010. "GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries," Papers 1005.1326, arXiv.org.
  12. Arif Dar & Amaresh Samantaraya & Firdous Shah, 2014. "The predictive power of yield spread: evidence from wavelet analysis," Empirical Economics, Springer, Springer, vol. 46(3), pages 887-901, May.
  13. Periklis Gogas & Ioannis Pragidis, 2012. "GDP trend deviations and the yield spread: the case of eight E.U. countries," Journal of Economics and Finance, Springer, Springer, vol. 36(1), pages 226-237, January.
  14. Hogrefe, Jens, 2007. "The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy," Economics Working Papers 2007,12, Christian-Albrechts-University of Kiel, Department of Economics.
  15. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
  16. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, Elsevier, vol. 27(C), pages 261-274.
  17. Gogas, Periklis & Pragidis, Ioannis, 2010. "Does the Interest Risk Premium Predict Housing Prices?," DUTH Research Papers in Economics 1-2010, Democritus University of Thrace, Department of Economics.
  18. Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. 047, School of Economics, University of East Anglia, Norwich, UK..

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