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Citations for "What Does the Yield Curve Tell us about GDP Growth?"

by Andrew Ang & Monika Piazzesi & Min Wei

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  1. Rudebusch, Glenn D. & Williams, John C., 2009. "Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(4), pages 492-503.
  2. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Working Papers, Bank of Canada 07-21, Bank of Canada.
  3. Joshua V. Rosenberg & Samuel Maurer, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Jul, pages 1-11.
  4. Bekaert, Geert & Cho, Seonghoon & Moreno, Antonio, 2006. "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5956, C.E.P.R. Discussion Papers.
  5. Luis Gil-Alana & Antonio Moreno, . "Uncovering the U.S. Term Premium: An Alternative Route," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 12/07, School of Economics and Business Administration, University of Navarra.
  6. Alain Monfort & Jean-Paul Renne, 2011. "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers, Centre de Recherche en Economie et Statistique 2011-26, Centre de Recherche en Economie et Statistique.
  7. Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The affine arbitrage-free class of Nelson-Siegel term structure models," Working Paper Series, Federal Reserve Bank of San Francisco 2007-20, Federal Reserve Bank of San Francisco.
  8. Bhansali, Vineer & Dorsten, Matthew P. & Wise, Mark B., 2009. "Asymmetric monetary policy and the yield curve," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(8), pages 1408-1425, December.
  9. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011. "How arbitrage-free is the Nelson-Siegel model?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 393-407, June.
  10. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, Duncker & Humblot, Berlin, vol. 54(4), pages 293-318.
  11. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research, National Bank of Belgium 254, National Bank of Belgium.
  12. Modena, Matteo, 2008. "An empirical analysis of the curvature factor of the term structure of interest rates," MPRA Paper 11597, University Library of Munich, Germany.
  13. Marcellino, Massimiliano & Stock, James H & Watson, Mark W, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4976, C.E.P.R. Discussion Papers.
  14. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series, Federal Reserve Bank of San Francisco 2006-46, Federal Reserve Bank of San Francisco.
  15. Orazio Di Miscia, 2005. "Term structure of interest models: concept and estimation problem in a continuous-time setting," Finance, EconWPA 0504017, EconWPA.
  16. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports, Federal Reserve Bank of New York 265, Federal Reserve Bank of New York.
  17. Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers, Banque de France 223, Banque de France.
  18. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5259, C.E.P.R. Discussion Papers.
  19. Andrea Carriero & Carlo Favero & Iryna Kaminska, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 253, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  20. Tao Wu & Glenn Rudebusch, 2004. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers, Society for Economic Dynamics 104, Society for Economic Dynamics.
  21. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The macroeconomy and the yield curve: a nonstructural analysis," Working Paper Series, Federal Reserve Bank of San Francisco 2003-18, Federal Reserve Bank of San Francisco.
  22. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers, Center for Economic and Financial Research (CEFIR) w0092, Center for Economic and Financial Research (CEFIR).
  23. Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics, Boston College Department of Economics 852, Boston College Department of Economics.
  24. Zinna, Gabriele, 2011. "Identifying risks in emerging market sovereign and corporate bond spreads," Bank of England working papers, Bank of England 430, Bank of England.
  25. André Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers, Federal Reserve Bank of St. Louis 2012-011, Federal Reserve Bank of St. Louis.
  26. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, Elsevier, vol. 162(1), pages 55-70, May.
  27. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, Elsevier, vol. 22(1), pages 42-65.
  28. 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.
  29. Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers, Department of Economics, University of York 04/16, Department of Economics, University of York, revised Jan 2006.
  30. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 15-35.
  31. Zaghini, Andrea & Bencivelli, Lorenzo, 2012. "Financial innovation, macroeconomic volatility and the great moderation," MPRA Paper 41263, University Library of Munich, Germany.
  32. Monfort, A. & Pegoraro, F., 2007. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working papers, Banque de France 189, Banque de France.
  33. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006, Society for Computational Economics 203, Society for Computational Economics.
  34. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 09-2010, University of Cyprus Department of Economics.
  35. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University 2009:10, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  36. 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].
  37. Jan Bruha, 2011. "Retail Credit Premiums and Macroeconomic Developments," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2010/2011, chapter 0, pages 133-140 Czech National Bank, Research Department.
  38. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers, Centre de Recherche en Economie et Statistique 2005-41, Centre de Recherche en Economie et Statistique.
  39. Ferrero, Giuseppe & Nobili, Andrea, 2008. "Futures contract rates as monetary policy forecasts," Working Paper Series, European Central Bank 0979, European Central Bank.
  40. Arnaud Mehl, 2009. "The Yield Curve as a Predictor and Emerging Economies," Open Economies Review, Springer, Springer, vol. 20(5), pages 683-716, November.
  41. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
  42. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
  43. Yu-chin Chen & Kwok Ping Tsang, 2010. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers e07-19, Virginia Polytechnic Institute and State University, Department of Economics.
  44. 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.
  45. Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
  46. Fan, Longzhen & Johansson, Anders C., 2009. "What Moves Bond Yields In China?," Working Paper Series, China Economic Research Center, Stockholm School of Economics 2009-9, China Economic Research Center, Stockholm School of Economics.
  47. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers, Bahcesehir University, Betam 010, Bahcesehir University, Betam, revised Mar 2013.
  48. Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  49. Kristoffer Nimark, 2006. "Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market," RBA Research Discussion Papers, Reserve Bank of Australia rdp2006-05, Reserve Bank of Australia.
  50. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December.
  51. Periklis Gogas & Ioannis Pragidis, 2010. "GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries," Papers 1005.1326, arXiv.org.
  52. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, Elsevier, vol. 60(2), pages 295-309.
  53. Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers, University of Heidelberg, Department of Economics 0535, University of Heidelberg, Department of Economics.
  54. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers, Queen Mary, University of London, School of Economics and Finance 612, Queen Mary, University of London, School of Economics and Finance.
  55. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile, Central Bank of Chile 380, Central Bank of Chile.
  56. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto 1004, Universidade do Porto, Faculdade de Economia do Porto.
  57. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 681, Bank of Italy, Economic Research and International Relations Area.
  58. Fernando M. Duarte, 2013. "Inflation risk and the cross section of stock returns," Staff Reports, Federal Reserve Bank of New York 621, Federal Reserve Bank of New York.
  59. Thomas Theobald, 2012. "Combining Recession Probability Forecasts from a Dynamic Probit Indicator," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute 89-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  60. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers, Chinese University of Hong Kong, Department of Economics 00017, Chinese University of Hong Kong, Department of Economics.
  61. Ang, James & Smedema, Adam, 2011. "Financial flexibility: Do firms prepare for recession?," Journal of Corporate Finance, Elsevier, Elsevier, vol. 17(3), pages 774-787, June.
  62. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, Springer, vol. 9(3), pages 455-470, August.
  63. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  64. Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper, Federal Reserve Bank of Kansas City RWP 05-05, Federal Reserve Bank of Kansas City.
  65. Bassett, William F. & Chosak, Mary Beth & Driscoll, John C. & Zakrajšek, Egon, 2014. "Changes in bank lending standards and the macroeconomy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 62(C), pages 23-40.
  66. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers, Bank of Canada 05-36, Bank of Canada.
  67. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2013. "Real-Time Inflation Forecasting in a Changing World," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 31(1), pages 29-44, January.
  68. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco.
  69. Torben G. Andersen & Luca Benzoni, 2006. "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series, Federal Reserve Bank of Chicago WP-06-15, Federal Reserve Bank of Chicago.
  70. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 44(06), pages 1265-1289, December.
  71. Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
  72. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, Elsevier, vol. 37(C), pages 333-344.
  73. Koeda, Junko, 2013. "Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields," Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 170-188.
  74. Kaminska, Iryna, 2008. "A no-arbitrage structural vector autoregressive model of the UK yield curve," Bank of England working papers, Bank of England 357, Bank of England.
  75. Markus Baltzer & Gerhard Kling, 2007. "Predictability of future economic growth and the credibility of monetary regimes in Germany, 1870-2003," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(6), pages 401-404.
  76. Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  77. Jane M. Binner & Peter Tino & Jonathan Tepper & Richard G. Anderson & Barry Jones & Graham Kendall, 2009. "Does money matter in inflation forecasting?," Working Papers, Federal Reserve Bank of St. Louis 2009-030, Federal Reserve Bank of St. Louis.
  78. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Working Papers, Bank of Canada 12-37, Bank of Canada.
  79. Olena Chyruk & Luca Benzoni & Andrea Ajello, 2012. "Core and `Crust': Consumer Prices and the Term Structure of Interest Rates," 2012 Meeting Papers, Society for Economic Dynamics 922, Society for Economic Dynamics.
  80. Nimark, Kristoffer, 2008. "Monetary policy with signal extraction from the bond market," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(8), pages 1389-1400, November.
  81. Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(6), pages 1789-1807.
  82. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, Elsevier, vol. 33(6), pages 1295-1312.
  83. Mark Mink, 2011. "Procyclical Bank Risk-Taking and the Lender of Last Resort," DNB Working Papers, Netherlands Central Bank, Research Department 301, Netherlands Central Bank, Research Department.
  84. repec:wyi:wpaper:002005 is not listed on IDEAS
  85. Gregory R. Duffee, 2011. "Information in (and not in) the Term Structure," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(9), pages 2895-2934.
  86. Michael D. Bordo & Joseph G. Haubrich, 2006. "Forecasting with the yield curve; level, slope, and output 1875-1997," Working Paper, Federal Reserve Bank of Cleveland 0611, Federal Reserve Bank of Cleveland.
  87. Éric Dubois, 2006. "Présentation générale," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 172(1), pages 1-9.
  88. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(3), pages 451-472.
  89. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 836-857, October.
  90. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 0901, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  91. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society 581, Econometric Society.
  92. Junko Koeda & Ryo Kato, 2010. "The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan 10-E-24, Institute for Monetary and Economic Studies, Bank of Japan.
  93. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper, Norges Bank 2011/19, Norges Bank.
  94. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2008. "The Yield Curve and its Relation with Economic Activity: The Mexican Case," Working Papers, Banco de México 2008-15, Banco de México.
  95. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, Elsevier, vol. 60(2), pages 203-220.
  96. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers, CIRANO 2009s-20, CIRANO.
  97. Favero, Carlo A & Kaminska, Iryna & Söderström, Ulf, 2005. "The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4910, C.E.P.R. Discussion Papers.
  98. 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.
  99. Christopher Otrok & Andre Kurmann, 2011. "News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models," 2011 Meeting Papers, Society for Economic Dynamics 426, Society for Economic Dynamics.
  100. 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.
  101. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers, Banque de France 191, Banque de France.
  102. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  103. Jones, Christopher S. & Tuzel, Selale, 2013. "Inventory investment and the cost of capital," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(3), pages 557-579.
  104. Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November.
  105. Taboga, Marco, 2009. "Macro-finance VARs and bond risk premia: A caveat," Review of Financial Economics, Elsevier, Elsevier, vol. 18(4), pages 163-171, October.
  106. 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.
  107. Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers, Society for Economic Dynamics 514, Society for Economic Dynamics.
  108. Junko Koeda & Ryo Kato, 2010. "The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-724, CIRJE, Faculty of Economics, University of Tokyo.
  109. repec:wyi:journl:002125 is not listed on IDEAS
  110. Marco Lombardi & Raphael A. Espinoza & Fabio Fornari, 2009. "The Role of Financial Variables in Predicting Economic Activity in the Euro Area," IMF Working Papers, International Monetary Fund 09/241, International Monetary Fund.
  111. Duffee, Gregory R., 2006. "Term structure estimation without using latent factors," Journal of Financial Economics, Elsevier, Elsevier, vol. 79(3), pages 507-536, March.
  112. Alfred V Guender & Bernard Tolan, 2013. "The Centre Matters for the Periphery of Europe: The Predictive Ability of a GZ-Type Spread for Economic Activity in Europe," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 13/29, University of Canterbury, Department of Economics and Finance.
  113. Marcelle Chauvet & Zeynep Senyuz, 2012. "A dynamic factor model of the yield curve as a predictor of the economy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-32, Board of Governors of the Federal Reserve System (U.S.).
  114. Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 309-338.
  115. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-15, Board of Governors of the Federal Reserve System (U.S.).
  116. Sagarika Mishra, . "Do Agents Learn by Least Squares? The Evidence Provided by Changes in Monetary Policy," Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2012_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  117. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
  118. Carlo A. Favero & Linlin Niu & Luca Sala, 2012. "Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 31(2), pages 124-156, 03.
  119. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  120. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield "conundrum" from a macro-finance perspective," Working Paper Series, Federal Reserve Bank of San Francisco 2006-16, Federal Reserve Bank of San Francisco.
  121. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series, Federal Reserve Bank of San Francisco 2010-01, Federal Reserve Bank of San Francisco.
  122. Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 26-43, September.
  123. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(3), pages 395-410.
  124. Jonathan H. Wright, 2006. "The yield curve and predicting recessions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-07, Board of Governors of the Federal Reserve System (U.S.).
  125. Josué Fernando Cortés Espada & Alberto Torres García & Manuel Ramos Francia, 2008. "An Empirical Analysis of the Mexican Term Structure of Interest Rates," Working Papers, Banco de México 2008-07, Banco de México.
  126. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  127. 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.
  128. Junko Koeda, 2010. "How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-237, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2011.
  129. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society 307, Econometric Society.
  130. Marcello Pericoli & Marco Taboga, 2006. "Canonical term-structure models with observable factors and the dynamics of bond risk premiums," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 580, Bank of Italy, Economic Research and International Relations Area.
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