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Citations for "Forecasting recessions: the puzzle of the enduring power of the yield curve"

by Glenn D. Rudebusch & John C. Williams

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  1. Makram El-Shagi & Gregor von Schweinitz, 2012. "Qual VAR Revisited: Good Forecast, Bad Story," IWH Discussion Papers, Halle Institute for Economic Research 12, Halle Institute for Economic Research.
  2. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, Springer, vol. 46(1), pages 145-174, February.
  3. John Galbraith & Simon van Norden, 2008. "The Calibration of Probabilistic Economic Forecasts," CIRANO Working Papers, CIRANO 2008s-28, CIRANO.
  4. Yunus Aksoy & Henrique S. Basso, 2012. "Liquidity, term spreads and monetary policy," Banco de Espa�a Working Papers 1223, Banco de Espa�a.
  5. Ray C. Fair, 2009. "Analyzing Macroeconomic Forecastability," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1706, Cowles Foundation for Research in Economics, Yale University, revised Aug 2010.
  6. Laurent Ferrara & Clément Marsilli, 2012. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," EconomiX Working Papers 2012-19, University of Paris West - Nanterre la Défense, EconomiX.
  7. Travis J. Berge & Òscar Jordà, 2011. "Evaluating the Classification of Economic Activity into Recessions and Expansions," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 246-77, April.
  8. Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1789-1807.
  9. António Afonso & Manuel M. F. Martins, 2010. "Level, Slope, Curvature of Sovereign Yield Curve and Fiscal Behaviour," Working Papers Department of Economics, ISEG - School of Economics and Management, Department of Economics, University of Lisbon 2010/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  10. Kajal Lahiri & George Monokroussos & Yongchen Zhao, 2012. "The yield spread puzzle and the information content of SPF forecasts," Discussion Papers 12-04, University at Albany, SUNY, Department of Economics.
  11. John C. Williams, 2009. "Heeding Daedalus: Optimal inflation and the zero lower bound," Working Paper Series 2009-23, Federal Reserve Bank of San Francisco.
  12. Pierre Guerin & Massimiliano Marcellino, 2011. "Markov-Switching MIDAS Models," Economics Working Papers, European University Institute ECO2011/03, European University Institute.
  13. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers, Banque de France 234, Banque de France.
  14. Luís Francisco Aguiar & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," NIPE Working Papers, NIPE - Universidade do Minho 21/2010, NIPE - Universidade do Minho.
  15. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers, Banque de France 259, Banque de France.
  16. Mario Meichle & Angelo Ranaldo & Attilio Zanetti, 2011. "Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland," Financial Markets and Portfolio Management, Springer, Springer, vol. 25(4), pages 435-453, December.
  17. Österholm, Pär, 2012. "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(1), pages 76-86.
  18. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 400-411.
  19. John Galbraith & Simon van Norden, 2009. "Calibration and Resolution Diagnostics for Bank of England Density Forecasts," CIRANO Working Papers, CIRANO 2009s-36, CIRANO.
  20. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  21. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
  22. Bertrand Candelon & Norbert Metiu & Stefan Straetmans, 2014. "Disentangling economic recessions and depressions," Working Papers 2014-328, Department of Research, Ipag Business School.
  23. Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers, Queen Mary, University of London, School of Economics and Finance 595, Queen Mary, University of London, School of Economics and Finance.
  24. Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 175-190.
  25. Curry, Timothy J. & Fissel, Gary S. & Hanweck, Gerald A., 2008. "Is there cyclical bias in bank holding company risk ratings?," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1297-1309, July.
  26. Galbraith, John W. & van Norden, Simon, 2011. "Kernel-based calibration diagnostics for recession and inflation probability forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(4), pages 1041-1057, October.
  27. Travis Berge, 2013. "Predicting recessions with leading indicators: model averaging and selection over the business cycle," Research Working Paper, Federal Reserve Bank of Kansas City RWP 13-05, Federal Reserve Bank of Kansas City.
  28. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
  29. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 21-60, December.
  30. Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," International Review of Economics & Finance, Elsevier, Elsevier, vol. 31(C), pages 21-33.
  31. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2008. "The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach," Working Papers, Brock University, Department of Economics 0803, Brock University, Department of Economics.
  32. Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  33. N. Kundan Kishor & Evan F. Koenig, 2010. "Yield spreads as predictors of economic activity: a real-time VAR analysis," Working Papers, Federal Reserve Bank of Dallas 1008, Federal Reserve Bank of Dallas.
  34. Kajal Lahiri & Liu Yang, 2012. "Forecasting Binary Outcomes," Discussion Papers 12-09, University at Albany, SUNY, Department of Economics.
  35. Croushore, Dean & Marsten, Katherine, 2014. "The continuing power of the yield spread in forecasting recessions," Working Papers 14-5, Federal Reserve Bank of Philadelphia.