The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy
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More about this item
Keywordsleading indicator; yield spread; GDP growth; monetary policy; Markov-Switching;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-30 (All new papers)
- NEP-CBA-2007-06-30 (Central Banking)
- NEP-EEC-2007-06-30 (European Economics)
- NEP-MAC-2007-06-30 (Macroeconomics)
- NEP-MON-2007-06-30 (Monetary Economics)
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