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The Predictive Power of the Yield Curve Across Countries and Time

Citations

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Cited by:

  1. Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012. "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper series 65_12, Rimini Centre for Economic Analysis.
  2. Cyrille Lenoel & Garry Young, 2020. "Real-time turning point indicators: Review of current international practices," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-05, Economic Statistics Centre of Excellence (ESCoE).
  3. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, May.
  4. Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
  5. Christos Argyropoulos & Bertrand Candelon & Jean‐Baptiste Hasse & Ekaterini Panopoulou, 2024. "Towards a macroprudential regulatory framework for mutual funds?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3063-3082, July.
  6. Angela Abbate & Massimiliano Marcellino, 2017. "Macroeconomic activity and risk indicators: an unstable relationship," BAFFI CAREFIN Working Papers 1756, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  7. Bordo, Michael D. & Haubrich, Joseph G., 2022. "Some international evidence on the causal impact of the yield curve," Finance Research Letters, Elsevier, vol. 45(C).
  8. Marcio Santetti, 2023. "A time-varying finance-led model for U.S. business cycles," Papers 2310.05153, arXiv.org, revised Jan 2024.
  9. Petri Kuosmanen & Juuso Vataja, 2025. "Predictive Power of Key Financial Variables During the Unconventional Monetary Policy Era," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(3), pages 856-866, April.
  10. Lorenzo Boldrini & Eric Hillebrand, 2015. "The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach," CREATES Research Papers 2015-39, Department of Economics and Business Economics, Aarhus University.
  11. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
  12. McMillan, David G., 2021. "When and why do stock and bond markets predict US economic growth?," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 331-343.
  13. Evangelos Salachas & Georgios P. Kouretas & Nikiforos T. Laopodis, 2024. "The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1018-1041, July.
  14. Peilun He & Gareth W. Peters & Nino Kordzakhia & Pavel V. Shevchenko, 2024. "Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics," Papers 2412.05889, arXiv.org.
  15. Ang, James & Smedema, Adam, 2011. "Financial flexibility: Do firms prepare for recession?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 774-787, June.
  16. Kuosmanen, Petri & Vataja, Juuso, 2014. "Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis," Review of Financial Economics, Elsevier, vol. 23(2), pages 90-97.
  17. Christiansen, Charlotte, 2013. "Predicting severe simultaneous recessions using yield spreads as leading indicators," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1032-1043.
  18. Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The US Term Structure and Return Volatility in Global REIT Markets," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 84-109, September.
  19. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  20. Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 368-379.
  21. Bordo, Michael D. & Haubrich, Joseph G., 2024. "Low interest rates and the predictive content of the yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  22. 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.
  23. Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2018. "The Institute of Financial Economics Financial Stress Index (IFEFSI) for Lebanon," MPRA Paper 116054, University Library of Munich, Germany.
  24. Gebka, Bartosz & Wohar, Mark E., 2018. "The predictive power of the yield spread for future economic expansions: Evidence from a new approach," Economic Modelling, Elsevier, vol. 75(C), pages 181-195.
  25. 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.
  26. Kuosmanen, Petri & Vataja, Juuso, 2019. "Time-varying predictive content of financial variables in forecasting GDP growth in the G-7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 211-222.
  27. Chatelais, Nicolas & Stalla-Bourdillon, Arthur & Chinn, Menzie D., 2023. "Forecasting real activity using cross-sectoral stock market information," Journal of International Money and Finance, Elsevier, vol. 131(C).
  28. Boukhatem, Jamel & Sekouhi, Hayfa, 2017. "What does the bond yield curve tell us about Tunisian economic activity?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 295-303.
  29. Mei-Chih Wang & Pao-Lan Kuo & Chan-Sheng Chen & Chien-Liang Chiu & Tsangyao Chang, 2020. "Yield Spread and Economic Policy Uncertainty: Evidence from Japan," Sustainability, MDPI, vol. 12(10), pages 1-14, May.
  30. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
  31. Riza Demirer & Asli Yuksel & Aydin Yuksel, 2020. "The U.S. term structure and return volatility in emerging stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 687-707, October.
  32. Nicolas Chatelais & Arthur Stalla-Bourdillon & Menzie D. Chinn, 2022. "Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section," NBER Working Papers 30305, National Bureau of Economic Research, Inc.
  33. 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.
  34. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  35. Michael T. Kiley, 2023. "Recession Signals and Business Cycle Dynamics: Tying the Pieces Together," Finance and Economics Discussion Series 2023-008, Board of Governors of the Federal Reserve System (U.S.).
  36. Parley Ruogu Yang, 2020. "Using the yield curve to forecast economic growth," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1057-1080, November.
  37. Rangan Gupta & Hylton Hollander & Rudi Steinbach, 2020. "Forecasting output growth using a DSGE-based decomposition of the South African yield curve," Empirical Economics, Springer, vol. 58(1), pages 351-378, January.
  38. Sun, Xiaojin & Tsang, Kwok Ping, 2023. "Yield curve and the macroeconomy: Evidence from a DSGE model with housing," Journal of Macroeconomics, Elsevier, vol. 75(C).
  39. Francis Bismans & Reynald Majetti, 2013. "Forecasting recessions using financial variables: the French case," Empirical Economics, Springer, vol. 44(2), pages 419-433, April.
  40. Petri Kuosmanen & Juuso Vataja, 2014. "Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis," Review of Financial Economics, John Wiley & Sons, vol. 23(2), pages 90-97, April.
  41. Evgenidis, Anastasios & Papadamou, Stephanos & Siriopoulos, Costas, 2020. "The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?," Journal of Business Research, Elsevier, vol. 106(C), pages 221-232.
  42. Periklis Gogas & Theophilos Papadimitriou & Maria Matthaiou & Efthymia Chrysanthidou, 2015. "Yield Curve and Recession Forecasting in a Machine Learning Framework," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 635-645, April.
  43. Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020. "A financial stress index for a highly dollarized developing country : The case of Lebanon," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
  44. Audrino, Francesco & Offner, Eric A., 2024. "The impact of macroeconomic news sentiment on interest rates," International Review of Financial Analysis, Elsevier, vol. 94(C).
  45. Michael D. Bordo & Joseph G. Haubrich, 2020. "Low Interest Rates and the Predictive Content of the Yield Curve," Working Papers 20-24R, Federal Reserve Bank of Cleveland, revised 21 Dec 2021.
  46. N. Kundan Kishor & Evan F. Koenig, 2010. "Yield spreads as predictors of economic activity: a real-time VAR analysis," Working Papers 1008, Federal Reserve Bank of Dallas.
  47. Joseph G. Haubrich, 2021. "Does the Yield Curve Predict Output?," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 341-362, November.
  48. Elsayed, Ahmed H. & Naifar, Nader & Nasreen, Samia, 2023. "Financial stability and monetary policy reaction: Evidence from the GCC countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 396-405.
  49. David G. McMillan, 2023. "Do financial markets predict macroeconomic performance? US evidence from risk‐based measures," Manchester School, University of Manchester, vol. 91(5), pages 439-466, September.
  50. Hafsa Hina & Henna Ahsan & Hania Afzal, 2022. "The Information in the Yield Spread for the Recession in the Case of Pakistan," PIDE-Working Papers 2022:11, Pakistan Institute of Development Economics.
  51. Ronald Ravinesh Kumar & Peter Josef Stauvermann & Hang Thi Thu Vu, 2021. "The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries," JRFM, MDPI, vol. 14(2), pages 1-23, February.
  52. Petri Kuosmanen & Juuso Vataja, 2017. "The return of financial variables in forecasting GDP growth in the G-7," Economic Change and Restructuring, Springer, vol. 50(3), pages 259-277, August.
  53. Florackis, Chris & Giorgioni, Gianluigi & Kostakis, Alexandros & Milas, Costas, 2014. "On stock market illiquidity and real-time GDP growth," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 210-229.
  54. Kuosmanen, Petri & Rahko, Jaana & Vataja, Juuso, 2019. "Predictive ability of financial variables in changing economic circumstances," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 37-47.
  55. Samuel Carrasco & Luis Ceballos & Jessica Mena, 2016. "Estimación de la estructura de tasas de interés en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 58-75, April.
  56. David G. McMillan, 2021. "Predicting GDP growth with stock and bond markets: Do they contain different information?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3651-3675, July.
  57. N. Kundan Kishor & Evan F. Koenig, 2014. "Credit Indicators as Predictors of Economic Activity: A Real‐Time VAR Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 545-564, March.
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