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Citations for "On the Predictive Power of Interest Rates and Interest Rate Spreads"

by Ben Bernanke

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  1. Malik, Farooq & Ewing, Bradley T. & Kruse, Jamie B. & Lynch, Gerald J., 2009. "Modeling the time-varying volatility of the paper-bill spread," Journal of Economics and Business, Elsevier, Elsevier, vol. 61(5), pages 404-414, September.
  2. Lee, Tae-Hwy, 1995. "Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence," Economics Letters, Elsevier, Elsevier, vol. 49(2), pages 157-161, August.
  3. Soyoung Kim & Nouriel Roubini, 2004. "Twin Deficit or Twin Divergence? Fiscal Policy, Current Account, and Real Exchange Rate in the US," Econometric Society 2004 North American Winter Meetings, Econometric Society 271, Econometric Society.
  4. Joe Crowley, 2007. "Interest Rate Spreads in English-Speaking African Countries," IMF Working Papers, International Monetary Fund 07/101, International Monetary Fund.
  5. Hugo Benitez-Silva & Selcuk Eren & Frank Heiland & Sergi Jimenez-Martin, 2007. "How well do Individuals predict the Selling Prices of their Homes?," Department of Economics Working Papers, Stony Brook University, Department of Economics 07-06, Stony Brook University, Department of Economics.
  6. Ben S. Bernanke & Ilian Mihov, 1998. "Measuring Monetary Policy," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 113(3), pages 869-902, August.
  7. Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance, University of Stavanger 2009/35, University of Stavanger.
  8. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(12), pages 1845-1854.
  9. Gomez-Biscarri, Javier, 2008. "Changes in the informational content of term spreads: Is monetary policy becoming less effective?," Journal of Economics and Business, Elsevier, Elsevier, vol. 60(5), pages 415-435.
  10. Hafer, R. W. & Kutan, Ali M. & Su Zhou, 1997. "Linkage in EMS term structures: evidence from common trend and transitory components," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(4), pages 595-607, August.
  11. John Ammer & Allan D. Brunner, 1995. "When is monetary policy effective?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 520, Board of Governors of the Federal Reserve System (U.S.).
  12. Gerlach, Stefan, 2003. "Interpreting the term structure of interbank rates in Hong Kong," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(5), pages 593-609, November.
  13. Smant, David / D.J.C., 2002. "Bank credit in the transmission of monetary policy: A critical review of the issues and evidence," MPRA Paper 19816, University Library of Munich, Germany.
  14. William Roberds & David Runkle & Charles H. Whiteman, 1992. "Another hole in the ozone layer: changes in FOMC operating procedure and the term structure," Working Paper, Federal Reserve Bank of Atlanta 92-15, Federal Reserve Bank of Atlanta.
  15. Kuan-Min Wang, 2010. "Expected and Unexpected Impulses of Monetary Policy on the Interest Pass-Through Mechanism in Asian Countries," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 95-137, May.
  16. Aaron Tornell & Frank Westermann, 2003. "The Credit Channel in Middle Income Countries," CESifo Working Paper Series 832, CESifo Group Munich.
  17. Rotemberg, J.J. & Driscoll, J.C. & Poterba, J.M., 1991. "Money, Output, and Prices: Evidence from a New Monetary Aggregate," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 585, Massachusetts Institute of Technology (MIT), Department of Economics.
  18. Hakkio, Craig S. & Rush, Mark & Schmidt, Timothy J., 1996. "The marginal income tax rate schedule from 1930 to 1990," Journal of Monetary Economics, Elsevier, Elsevier, vol. 38(1), pages 117-138, August.
  19. Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt69v8p1m9, Department of Economics, UC San Diego.
  20. Benjamin M. Friedman & Kenneth N. Kuttner, 1998. "Indicator Properties Of The Paper-Bill Spread: Lessons From Recent Experience," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 34-44, February.
  21. Gertler, M. & Gilchrist, S., 1992. "Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms," Working Papers, C.V. Starr Center for Applied Economics, New York University 92-08, C.V. Starr Center for Applied Economics, New York University.
  22. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 49(2), pages 515-41, June.
  23. Vijverberg, Chu-Ping C., 2004. "An empirical financial accelerator model: Small firms' investment and credit rationing," Journal of Macroeconomics, Elsevier, Elsevier, vol. 26(1), pages 101-129, March.
  24. Franck Sédillot, 2001. "La pente des taux contient-elle de l’information sur l’activité économique future ?," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 147(1), pages 141-157.
  25. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 41(3), pages 788-829, September.
  26. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 544, Bank of Italy, Economic Research and International Relations Area.
  27. Nippani, Srinivas & Pennathur, Anita K., 2004. "Day-of-the-week effects in commercial paper yield rates," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 44(4), pages 508-520, September.
  28. Benjamin M. Friedman & Kenneth N. Kuttner, 1991. "Why Does the Paper-Bill Spread Predict Real Economic Activity?," NBER Working Papers 3879, National Bureau of Economic Research, Inc.
  29. Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2001-08, Henley Business School, Reading University.
  30. Anil Kashyap & Jeremy C. Stein, 1993. "Monetary Policy and Bank Lending," NBER Working Papers 4317, National Bureau of Economic Research, Inc.
  31. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 04/03, School of Economics and Business Administration, University of Navarra.
  32. Kwark, Noh-Sun, 2002. "Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(2), pages 271-302, February.
  33. Brock, Philip L. & Rojas Suarez, Liliana, 2000. "Understanding the behavior of bank spreads in Latin America," Journal of Development Economics, Elsevier, Elsevier, vol. 63(1), pages 113-134, October.
  34. Mark Weder, 2006. "A heliocentric journey into Germany's Great Depression," Oxford Economic Papers, Oxford University Press, vol. 58(2), pages 288-316, April.
  35. Bhaduri, Saumitra & Saraogi, Ravi, 2010. "The predictive power of the yield spread in timing the stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 11(3), pages 261-272, September.
  36. Chung, Richard & Kryzanowski, Lawrence, 2001. "Tests of investor cognizance using earnings forecasts of North American analysts," International Review of Economics & Finance, Elsevier, Elsevier, vol. 10(2), pages 187-204.
  37. Petra Gerlach-Kristen, 2007. "Three aspects of the Swiss term structure: an empirical survey," Financial Markets and Portfolio Management, Springer, Springer, vol. 21(2), pages 221-240, June.
  38. Abdul Majid, Muhamed Zulkhibri, 2011. "Predicting Output and Inflation in Less Developed Financial Markets Using the Yield Curve: Evidence from Malaysia," MPRA Paper 29039, University Library of Munich, Germany.
  39. Adam B. Ashcraft & Murillo Campello, 2002. "Borrowers' financial constraints and the transmission of monetary policy: evidence from financial conglomerates," Staff Reports, Federal Reserve Bank of New York 153, Federal Reserve Bank of New York.
  40. Allan D. Brunner & Steven B. Kamin, 1995. "Bank lending and economic activity in Japan: did "financial factors" contribute to the recent downturn?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 513, Board of Governors of the Federal Reserve System (U.S.).
  41. Júlio Cesar Albuquerque Bastos & Gabriel Caldas Montes, 2011. "Metasde Inflação E Estrutura A Termo Das Taxas De Juros - Uma Análise Dainfluência Da Credibilidade Sobre O Spread Da Taxa De Juros De Longoprazo No Brasil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 142, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  42. F. Barran & V. Coudert & B. Mojon, 1997. "Interest rates, banking spreads and credit supply: the real effects," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(2), pages 107-136.
  43. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers, Business School - Economics, University of Glasgow 2008_36, Business School - Economics, University of Glasgow.
  44. Hännikäinen, Jari, 2014. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," MPRA Paper 56737, University Library of Munich, Germany.
  45. Janine Aron & John Muellbauer, 2002. "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," IMF Staff Papers, Palgrave Macmillan, vol. 49(Special i), pages 185-213.
  46. Diana N. Weymark & Mototsugu Shintani, 2004. "Measuring Inflation Pressure and Monetary Policy Response: A General Approach Applied to US Data 1966 - 2001," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics 0424, Vanderbilt University Department of Economics.
  47. Wang, Kuan-Min & Lee, Yuan-Ming, 2009. "Market volatility and retail interest rate pass-through," Economic Modelling, Elsevier, Elsevier, vol. 26(6), pages 1270-1282, November.
  48. Harrison, Sharon G & Weder, Mark, 2002. "Did Sunspot Forces Cause the Great Depression?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3267, C.E.P.R. Discussion Papers.
  49. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 18(2), pages 33-66, December.
  50. R. W. Hafer & Ali M. Kutan, 2002. "Detrending and the Money-Output Link: International Evidence," Southern Economic Journal, Southern Economic Association, Southern Economic Association, vol. 69(1), pages 159-174, July.
  51. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 28(C), pages 242-264.
  52. Berument, Hakan & Togay, Selahattin & Sahin, Afsin, 2011. "Identifying the Liquidity Effects of Monetary Policy Shocks For a Small Open Economy: Turkey," MPRA Paper 46883, University Library of Munich, Germany.
  53. W. J. Coleman & C. Gilles & P. Labadie, 1993. "Discount window borrowing and liquidity," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  54. John V. Duca, 1994. "Would the addition of bond or equity funds make M2 a better indicator of nominal GDP?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, Federal Reserve Bank of Dallas, issue Q IV, pages 1-14.
  55. Langfeldt, Enno, 1994. "Die Zinsstruktur als Frühindikator für Konjunktur und Preisentwicklung in Deutschland," Kiel Working Papers 615, Kiel Institute for the World Economy.
  56. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, Elsevier, vol. 16(1), pages 39-58.
  57. Sellin, Peter, 2001. " Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  58. Francis Bismans & Christelle Mougeot, 2009. "Austrian business cycle theory: Empirical evidence," The Review of Austrian Economics, Springer, Springer, vol. 22(3), pages 241-257, September.
  59. Diana N. Weymark & Mototsugu Shintani, 2006. "Quantifying Inflation Pressure and Monetary Policy Response in the United States," Levine's Bibliography 321307000000000321, UCLA Department of Economics.
  60. Kenneth N. Kuttner, 1993. "Credit conditions and external finance: interpreting the behavior of financial flows and interest rate spreads," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  61. Loutskina, Elena, 2011. "The role of securitization in bank liquidity and funding management," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 663-684, June.
  62. Michael Isimbabi & Alan Tucker, 1997. "The market perception of banking industry risk: A multifactor analysis," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 25(1), pages 99-112, March.
  63. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 3-53, March.
  64. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, pages 29-41.
  65. Paul Fenton & Alain Paquet, 1997. "International Interest Rate Differentials: The Interaction with Fiscal and Monetary Variables, and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 56, CREFE, Université du Québec à Montréal, revised Jan 1998.
  66. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(6), pages 1385-1403, June.
  67. Toru Konishi & Valerie A. Ramey & Clive W.J. Granger, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc.
  68. NANDWA, Boaz, 2006. "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 6(1).
  69. Owen Lamont, 1995. "Do "Shortages" Cause Inflation?," NBER Working Papers 5402, National Bureau of Economic Research, Inc.
  70. Theodore M. Crone & Michael P. McLaughlin, 1999. "A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area," Working Papers 99-7, Federal Reserve Bank of Philadelphia.
  71. Lof, Matthijs, 2010. "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions," MPRA Paper 30520, University Library of Munich, Germany.
  72. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, Department of Economics 05/02, University of Waikato, Department of Economics.
  73. Chuderewicz, Russell P., 2002. "Using interest rate uncertainty to predict the paper-bill spread and real output," Journal of Economics and Business, Elsevier, Elsevier, vol. 54(3), pages 293-312.
  74. Ernst Baltensperger & Thomas Jordan & Marcel Savioz, 2001. "The demand for M3 and inflation forecasts: An empirical analysis for Switzerland," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 137(2), pages 244-272, June.
  75. Charles Evans & Steven Strongin & Francesca Eugeni, 1992. "A policymaker's guide to indicators of economic activity," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 92-19, Federal Reserve Bank of Chicago.
  76. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 37(2), pages 193-220, February.
  77. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers, Business School - Economics, University of Glasgow 2008_35, Business School - Economics, University of Glasgow.
  78. Rossiter, R. D., 1995. "Monetary policy indicators after deregulation," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 35(2), pages 207-223.
  79. 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.
  80. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 39(2), pages 223-249, July.
  81. Chan G. Huh, 1991. "Recession probability indexes: a survey," Economic Review, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Fall, pages 31-40.
  82. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  83. Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996. "Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 42, CREFE, Université du Québec à Montréal.
  84. Aaron Tornell, 2002. "The Credit Channel in Middle Income Countries (October 2002), with Frank Westermann," UCLA Economics Online Papers, UCLA Department of Economics 216, UCLA Department of Economics.
  85. Chan Guk Huh, 1991. "Probability of recession," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue apr5.
  86. Michel Normandin & Louis Phaneuf, 1996. "The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 40, CREFE, Université du Québec à Montréal.
  87. Harrison, Sharon G. & Weder, Mark, 2002. "Did sunspot cause the Great Depression?," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,35, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  88. Sigouin, Christian & Raynauld, Jacques, 1997. "Quel rôle peut-on imputer aux banques à charte canadiennes dans la transmission des chocs monétaires des années quatre-vingt?," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 73(1), pages 367-393, mars-juin.
  89. Boulier, Bryan L. & Stekler, H. O., 2000. "The term spread as a monthly cyclical indicator: an evaluation," Economics Letters, Elsevier, Elsevier, vol. 66(1), pages 79-83, January.
  90. Tarhan, Vefa, 1995. "Does the federal reserve affect asset prices?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 19(5-7), pages 1199-1222.
  91. Gallegati, Marco & Ramsey, James B. & Semmler, Willi, 2014. "Interest rate spreads and output: A time scale decomposition analysis using wavelets," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 283-290.
  92. Campello, Murillo, 2003. "Capital structure and product markets interactions: evidence from business cycles," Journal of Financial Economics, Elsevier, Elsevier, vol. 68(3), pages 353-378, June.
  93. Choi, Jae-Young & Ratti, Ronald A., 2000. "The Predictive Power of Alternative Indicators of Monetary Policy," Journal of Macroeconomics, Elsevier, Elsevier, vol. 22(4), pages 581-610, October.
  94. Michael T. Belongia, 1992. "Selecting an intermediate target variable for monetary policy when the goal is price stability," Working Papers, Federal Reserve Bank of St. Louis 1992-008, Federal Reserve Bank of St. Louis.