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The term structure as a predictor of real activity and inflation in the euro area: a reassessment

In: Investigating the relationship between the financial and real economy

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Author Info

  • Jesús Crespo Cuaresma

    (University of Vienna)

  • Ernest Gnan

    (Austrian National Bank)

  • Doris Ritzberger-Grünwald

    (Austrian National Bank)

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This chapter was published in:

  • Bank for International Settlements, 2005. "Investigating the relationship between the financial and real economy," BIS Papers, Bank for International Settlements, Bank for International Settlements, number 22, 8.
    This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 22-11.

    Handle: RePEc:bis:bisbpc:22-11

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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. Smets, Frank & Tsatsaronis, Kostas, 1997. "Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1758, C.E.P.R. Discussion Papers.
    2. 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, Elsevier, vol. 41(7), pages 1375-1401, July.
    3. 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, Elsevier, vol. 21(6), pages 1003-1014, December.
    4. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
    5. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003. "How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 629-644, August.
    6. Carstensen, Kai & Hawellek, J., 2003. "Forecasting Inflation from the Term Structure," Munich Reprints in Economics, University of Munich, Department of Economics 19949, University of Munich, Department of Economics.
    7. 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, Elsevier, vol. 12(2), pages 187-206.
    8. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
    9. Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series, Institute for Advanced Studies 130, Institute for Advanced Studies.
    10. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 103-122, May.
    11. van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series, European Central Bank 0011, European Central Bank.
    12. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 93/19, International Monetary Fund.
    13. Arturo Estrella, 2005. "Why Does the Yield Curve Predict Output and Inflation?," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 115(505), pages 722-744, 07.
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    Cited by:
    1. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
    2. Johann Burgstaller, 2006. "Financial predictors of real activity and the propagation of aggregate shocks," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria 2006-16, Department of Economics, Johannes Kepler University Linz, Austria.
    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, Banque de France 157, Banque de France.
    4. 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, Money Macro and Finance Research Group 102, Money Macro and Finance Research Group.

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