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A Latent Time Series Model of the Cyclical Behavior of Interest Rates

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  • Singleton, Kenneth J

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  • Singleton, Kenneth J, 1980. "A Latent Time Series Model of the Cyclical Behavior of Interest Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 559-575, October.
  • Handle: RePEc:ier:iecrev:v:21:y:1980:i:3:p:559-75
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    Cited by:

    1. Luis Fernando Melo & Fabio H. Nieto & Carlos Esteban Posada & Yanneth Rocío Betancourt, 2001. "Un Índice Coincidente para la Actividad Económica Colombiana," BORRADORES DE ECONOMIA 003678, BANCO DE LA REPÚBLICA.
    2. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo Group Munich.
    3. repec:bla:sajeco:v:85:y:2017:i:3:p:430-454 is not listed on IDEAS
    4. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
    5. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
    6. James H. Stock & Mark W. Watson, 1993. "A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience," NBER Chapters,in: Business Cycles, Indicators and Forecasting, pages 95-156 National Bureau of Economic Research, Inc.
    7. Liu, Dandan & Jansen, Dennis W., 2007. "Macroeconomic forecasting using structural factor analysis," International Journal of Forecasting, Elsevier, vol. 23(4), pages 655-677.
    8. Fabio H. Nieto & Luis Fernando Melo, 2001. "About a Coincident Index for the State of the Economy," BORRADORES DE ECONOMIA 001938, BANCO DE LA REPÚBLICA.
    9. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
    10. Mustafa Çakir & Alain Kabundi, 2014. "Working Paper – WP/14/05- Transmission of China’s Shocks to the BRIS Countries," Papers 6345, South African Reserve Bank.
    11. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
    12. James H. Stock & Mark W. Watson, 1990. "Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988," NBER Working Papers 3376, National Bureau of Economic Research, Inc.
    13. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society.
    14. Mustafa Çakir & Alain Kabundi, 2017. "Transmission of China's Shocks to the BRIS Countries," South African Journal of Economics, Economic Society of South Africa, vol. 85(3), pages 430-454, September.
    15. Dario Cziraky & Max Gillman, 2004. "Inflation and Endogenous Growth in Underground Economies," wiiw Balkan Observatory Working Papers 50, The Vienna Institute for International Economic Studies, wiiw.

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