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Citations for "Indicator Properties Of The Paper-Bill Spread: Lessons From Recent Experience"

by Benjamin M. Friedman & Kenneth N. Kuttner

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  1. Michael D. Bordo & Joseph G. Haubrich, 2004. "The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997," Working Paper, Federal Reserve Bank of Cleveland 0402, Federal Reserve Bank of Cleveland.
  2. Simon M. Potter & Edward E. Leamer, 2004. "A Nonlinear Model of the Business Cycle," Econometric Society 2004 North American Winter Meetings, Econometric Society 490, Econometric Society.
  3. 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.
  4. Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009.
  5. Adrian, Tobias & Estrella, Arturo, 2008. "Monetary tightening cycles and the predictability of economic activity," Economics Letters, Elsevier, Elsevier, vol. 99(2), pages 260-264, May.
  6. Marcelle Chauvet & Simon Potter, 2001. "Forecasting recessions using the yield curve," Staff Reports, Federal Reserve Bank of New York 134, Federal Reserve Bank of New York.
  7. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(1), pages 63-87.
  8. Hännikäinen, Jari, 2014. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," MPRA Paper 56737, University Library of Munich, Germany.
  9. Chen, Yi-Ting, 2006. "Non-nested tests for competing U.S. narrow money demand functions," Economic Modelling, Elsevier, Elsevier, vol. 23(2), pages 339-363, March.
  10. Pons Novell, J., 2002. "Ciclo de la economía española y contenido informativo de los tipos de interés," Estudios de Economía Aplicada, Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 20, pages 583-598, Diciembre.
  11. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49.
  12. Matthew Canzoneri & Robert Cumby, 2014. "Optimal Exchange Intervention in an Inflation Targeting Regime: Some Cautionary Tales," Open Economies Review, Springer, Springer, vol. 25(3), pages 429-450, July.
  13. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
  14. 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.
  15. 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.
  16. Holtemöller, Oliver, 2002. "Further VAR evidence for the effectiveness of a credit channel in Germany," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  17. 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.
  18. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2013. "Addressing International Empirical Puzzles: the Liquidity of Bonds," Open Economies Review, Springer, Springer, vol. 24(2), pages 197-215, April.
  19. Ewing, Bradley T. & Lynch, Gerald J. & Payne, James E., 2003. "The paper-bill spread and real output: what matters more, a change in the paper rate or a change in the bill rate?," Review of Financial Economics, Elsevier, Elsevier, vol. 12(3), pages 233-246.
  20. F. Verona & M. M. F. Martins & I. Drumond, 2013. "(Un)anticipated Monetary Policy in a DSGE Model with a Shadow Banking System," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 78-124, September.
  21. Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary policy alternatives at the zero bound: an empirical assessment," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-48, Board of Governors of the Federal Reserve System (U.S.).
  22. 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.
  23. Andrea Cipollini & Nektarios Aslanidis, 2007. "Leading indicator properties of US high-yield credit spreads," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 006, University of Modena and Reggio E., Dept. of Economics.
  24. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  25. Nektarios Aslanidis & Andrea Cipollini, 2007. "Leading indicator properties of the US corporate spreads," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 115, Money Macro and Finance Research Group.
  26. Ewing, Bradley T., 2003. "The response of the default risk premium to macroeconomic shocks," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(2), pages 261-272.
  27. 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.
  28. Naifar, Nader, 2011. "What explains default risk premium during the financial crisis? Evidence from Japan," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(5), pages 412-430, September.
  29. Xuanhua Xu & Bin Pan, 2010. "Capital liquidity and residents’ consumption decision: An asymmetry analysis of economic prosperity," Frontiers of Economics in China, Springer, Springer, vol. 5(4), pages 622-639, December.
  30. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers, Federal Reserve Bank of Dallas 0906, Federal Reserve Bank of Dallas.
  31. Domac, Ilker & Ferri, Giovanni, 1998. "The real impact of financial shocks : evidence from the Republic of Korea," Policy Research Working Paper Series, The World Bank 2010, The World Bank.
  32. Gebhardt Kirschgässner & Marcel Savioz, 2001. "Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 2(4), pages 339-365, November.
  33. Honda, Yuzo, 2004. "Bank capital regulations and the transmission mechanism," Journal of Policy Modeling, Elsevier, Elsevier, vol. 26(6), pages 675-688, September.
  34. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(4), pages 568-584.
  35. 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.
  36. Ewing, Bradley T. & Payne, James E., 2005. "The response of real estate investment trust returns to macroeconomic shocks," Journal of Business Research, Elsevier, Elsevier, vol. 58(3), pages 293-300, March.
  37. Chikashi Tsuji, 2005. "Does the term structure predict real economic activity in Japan?," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 1(4), pages 249-257, July.
  38. Mark Gertler & Cara S. Lown, 2000. "The Information in the High Yield Bond Spread for the Business Cycle: Evidence and Some Implications," NBER Working Papers 7549, National Bureau of Economic Research, Inc.
  39. Erdem Basci & Yusuf Soner Baskaya & Mustafa Kilinc, 2011. "Financial Shocks and Industrial Employment," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 1112, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  40. 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.
  41. 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.