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Why does the yield curve predict economic activity? Dissecting the evidence for Germany and the United States

Citations

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Cited by:

  1. Menzie Chinn & Kavan Kucko, 2015. "The Predictive Power of the Yield Curve Across Countries and Time," International Finance, Wiley Blackwell, vol. 18(2), pages 129-156, June.
  2. Fabio Moneta, 2005. "Does the Yield Spread Predict Recessions in the Euro Area?," International Finance, Wiley Blackwell, vol. 8(2), pages 263-301, August.
  3. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
  4. Franck Sédillot, 2001. "La pente des taux contient-elle de l'information sur l'activité économique future ?," Economie & Prévision, La Documentation Française, vol. 147(1), pages 141-157.
  5. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
  6. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
  7. Martin Motl, 2019. "The inverted yield curve in the USA: How much time is left until a recession?," Occasional Publications - Chapters in Edited Volumes, in: CNB Global Economic Outlook - May 2019, pages 13-19, Czech National Bank, Research and Statistics Department.
  8. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers) 544, Bank of Italy, Economic Research and International Relations Area.
  9. Hamilton, James D & Kim, Dong Heon, 2002. "A Reexamination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-360, May.
  10. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'économie 03.02, Université de Lausanne, Faculté des HEC, Département d’économie.
  11. Jardet, Caroline, 2004. "Why did the term structure of interest rates lose its predictive power?," Economic Modelling, Elsevier, vol. 21(3), pages 509-524, May.
  12. Andersson, Magnus & D'Agostino, Antonello, 2008. "Are sectoral stock prices useful for predicting euro area GDP?," Research Technical Papers 2/RT/08, Central Bank of Ireland.
  13. Mohamed Z. M. Aazim & N. S. Cooray, 2012. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," South Asian Journal of Macroeconomics and Public Finance, , vol. 1(1), pages 25-56, June.
  14. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
  15. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  16. Ahrens, R., 2002. "Predicting recessions with interest rate spreads: a multicountry regime-switching analysis," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 519-537, August.
  17. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank).
  18. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
  19. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, University Library of Munich, Germany.
  20. 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 05/02, University of Waikato.
  21. Viktor Kotlan, 2002. "Monetary Policy and the Term Spread in a Macro Model of a Small Open Economy," Working Papers 2002/01, Czech National Bank, Research and Statistics Department.
  22. Morell, Joseph, 2018. "The decline in the predictive power of the US term spread: A structural interpretation," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 314-331.
  23. Gomez-Biscarri, Javier, 2008. "Changes in the informational content of term spreads: Is monetary policy becoming less effective?," Journal of Economics and Business, Elsevier, vol. 60(5), pages 415-435.
  24. Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005. "The term structure as a predictor of real activity and inflation in the euro area: a reassessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 177-92, Bank for International Settlements.
  25. Javier Gómez, 2007. "Changes in the Informational Content of the Spread: Is Monetary Policy Becoming Less Effective?," Faculty Working Papers 05/07, School of Economics and Business Administration, University of Navarra.
  26. 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] 029, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  27. Somya Tyagi & Sikandar Siddiqui, 2017. "Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 4(2), pages 61-67.
  28. Nakaota, Hiroshi, 2005. "The term structure of interest rates in Japan: the predictability of economic activity," Japan and the World Economy, Elsevier, vol. 17(3), pages 311-326, August.
  29. Siklos, Pierre L, 2000. "Inflation Targets and the Yield Curve: New Zealand and Australia versus the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(1), pages 15-32, February.
  30. Joseph G. Haubrich, 2021. "Does the Yield Curve Predict Output?," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 341-362, November.
  31. Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  32. repec:onb:oenbwp:y::i:94:b:1 is not listed on IDEAS
  33. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
  34. Ludger Lindlar & Wolfgang Scheremet, 1998. "Germany's Slump Explaining the Unemployment Crisis of the 1990s," Discussion Papers of DIW Berlin 169, DIW Berlin, German Institute for Economic Research.
  35. Nikola A. Tarashev, 2008. "An Empirical Evaluation of Structural Credit-Risk Models," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 1-53, March.
  36. Mohamed Z. M. Aazim & Nawalage S. Cooray, 2010. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," Working Papers EMS_2010_11, Research Institute, International University of Japan.
  37. Jorg Bibow, 2001. "Making EMU Work: Some lessons from the 1990s," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(3), pages 233-259.
  38. Tomáš Holub & Jaromír Hurník, 2008. "Ten Years of Czech Inflation Targeting: Missed Targets and Anchored Expectations," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(6), pages 67-86, November.
  39. Ahrens, Ralf, 1999. "Predicting recessions with interest rate spreads: A multicountry regime-switching analysis," CFS Working Paper Series 1999/15, Center for Financial Studies (CFS).
  40. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
  41. Alois Geyer & Richard Mader, 1999. "Estimation of the term structure of interest rates - A parametric approach," Working Papers 37, Oesterreichische Nationalbank (Austrian Central Bank).
  42. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, vol. 16(1), pages 39-58.
  43. repec:onb:oenbwp:y::i:37:b:1 is not listed on IDEAS
  44. Menachem Brenner & Meir Sokoler, 2010. "Inflation Targeting and Exchange Rate Regimes: Evidence from the Financial Markets," Review of Finance, European Finance Association, vol. 14(2), pages 295-311.
  45. Rendu de Lint, Christel & Stolin, David, 2003. "The predictive power of the yield curve: a theoretical assessment," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1603-1622, October.
  46. Martin Motl, 2023. "The inverted yield curve: economic recession on the horizon," Occasional Publications - Chapters in Edited Volumes, in: CNB Global Economic Outlook - April 2023, pages 13-19, Czech National Bank, Research and Statistics Department.
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