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The Term Structure as a Predictor of Real Activity and Inflation in the Euro Area: A Reassessment

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  • Jesús Crespo Cuaresma

    ()

  • Ernest Gnan
  • Doris Ritzberger-Grünwald

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Bibliographic Info

Article provided by Springer in its journal Review of World Economics.

Volume (Year): 141 (2005)
Issue (Month): 2 (July)
Pages: 318-342

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Handle: RePEc:spr:weltar:v:141:y:2005:i:2:p:318-342

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Related research

Keywords: Term structure; yield curve; forecasting; interest rates;

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2000. "How stable is the predictive power of the yield curve? evidence from Germany and the United States," Staff Reports 113, Federal Reserve Bank of New York.
  2. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003. "Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
  3. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  4. Kostas Tsatsaronis & Frank Smets, 1997. "Why does the yield curve predict economic activity? Dissecting the evidence for Germany and the United States," BIS Working Papers 49, Bank for International Settlements.
  5. Carstensen, Kai, 2003. "Forecasting Inflation from the Term Structure," Munich Reprints in Economics 19945, University of Munich, Department of Economics.
  6. Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series 130, Institute for Advanced Studies.
  7. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 9519, Exeter University, Department of Economics.
  8. James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  9. 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.
  10. Crespo-Cuaresma, Jesus & Gnan, Ernest & Ritzberger-Grunwald, Doris, 2004. "Using pre-EMU money market rates to assess monetary policy in the euro area," Economic Modelling, Elsevier, vol. 21(6), pages 1003-1014, December.
  11. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 93/19, International Monetary Fund.
  12. van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series 0011, European Central Bank.
  13. Arturo Estrella, 2005. "Why Does the Yield Curve Predict Output and Inflation?," Economic Journal, Royal Economic Society, vol. 115(505), pages 722-744, 07.
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Citations

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Cited by:
  1. Jean-Stéphane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006 102, Money Macro and Finance Research Group.
  2. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  3. Mésonnier, J-S., 2006. "The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area," Working papers 157, Banque de France.
  4. Johann Burgstaller, 2006. "Financial predictors of real activity and the propagation of aggregate shocks," Economics working papers 2006-16, Department of Economics, Johannes Kepler University Linz, Austria.

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