IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for " The Term Structure as a Predictor of Real Economic Activity"

by Estrella, Arturo & Hardouvelis, Gikas A

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
  2. Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2013. "Leading indicators of crisis incidence: Evidence from developed countries," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 1-19.
  3. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models across Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 741-760, December.
  4. Weber, Enzo & Wolters, Jürgen, 2010. "Risk and Policy Shocks on the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 438, University of Regensburg, Department of Economics.
  5. Sermin Gungor & Jesus Sierra, 2014. "Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy," Working Papers 14-3, Bank of Canada.
  6. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
  7. Luciano Vereda & Hélio Lopes & Jessica Kubrusly & Adrian Pizzinga & Taofik Mohammed Ibrahim, 2014. "Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 377-393.
  8. Moersch, Mathias, 1996. "Predicting output with a money market spread," Journal of Economics and Business, Elsevier, vol. 48(2), pages 185-199, May.
  9. Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," Les Cahiers de Recherche 828, HEC Paris.
  10. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure," Management Science, INFORMS, vol. 43(3), pages 371-385, March.
  11. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
  12. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," NBER Working Papers 5031, National Bureau of Economic Research, Inc.
  13. Fernando Lefort G. & Eduardo Walker H., 2000. "The Structure of Real Interest Rates in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(2), pages 31-52, August.
  14. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
    • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  15. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 18(2), pages 33-66, December.
  16. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
  17. Zhu, Xiaoneng, 2015. "Out-of-sample bond risk premium predictions: A global common factor," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 155-173.
  18. Lettau, Martin & Ludvigson, Sydney, 2001. "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers 3103, C.E.P.R. Discussion Papers.
  19. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  20. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "Global Yield Curves and Sovereign Bond Market Integration," Economic Growth Centre Working Paper Series 0902, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  21. Campbell, J.Y. & Ammer, J., 1991. "What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns," Papers 127, Princeton, Department of Economics - Financial Research Center.
  22. Backus, David K & Zin, Stanley E, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 681-700, August.
  23. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Centre de Recherche en Economie et Statistique.
  24. Fangxiong Gong & Roberto Mariano, 1997. "Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 147-169, May.
  25. Andrew Fung & Bryan Chapple, 1994. "The yield curve as an indicator of monetary conditions," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 57, March.
  26. F. Barran & V. Coudert & B. Mojon, 1997. "Interest rates, banking spreads and credit supply: the real effects," The European Journal of Finance, Taylor & Francis Journals, vol. 3(2), pages 107-136.
  27. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  28. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  29. Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
  30. Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series 047, School of Economics, University of East Anglia, Norwich, UK..
  31. Baghestani, Hamid, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, Elsevier, vol. 18(3), pages 156-162, August.
  32. Atta-Mensah, Joseph & Tkacz, Greg, 1998. "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Working Papers 98-5, Bank of Canada.
  33. Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
  34. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer, vol. 18(1), pages 105-127, March.
  35. Canova, Fabio & Nicolo, Gianni De, 2002. "Monetary disturbances matter for business fluctuations in the G-7," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1131-1159, September.
  36. Smets, Frank & Tsatsaronis, Kostas, 1997. "Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States," CEPR Discussion Papers 1758, C.E.P.R. Discussion Papers.
  37. Paap, R. & Franses, Ph.H.B.F., 1999. "Do the US and Canada have a common nonlinear cycle in unemployment?," Econometric Institute Research Papers EI 9907-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  38. Yunus Aksoy & Henriqu S Basso, 2012. "Liquidity, Term Spreads and Monetary Policy," Birkbeck Working Papers in Economics and Finance 1211, Birkbeck, Department of Economics, Mathematics & Statistics.
  39. Edward E. Leamer, 2001. "The Life Cycle of US Economic Expansions," NBER Working Papers 8192, National Bureau of Economic Research, Inc.
  40. Vázquez Pérez, Jesús, 2004. "Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation," DFAEII Working Papers 2004-02, University of the Basque Country - Department of Foundations of Economic Analysis II.
  41. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  42. Francesco Ravazzolo & Philip Rothman, 2011. "Oil and US GDP: A Real-Time out-of Sample Examination," Working Papers 0004, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  43. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2013. "In the Shadow of the U nited S tates: The International Transmission Effect of Asset Returns," Pacific Economic Review, Wiley Blackwell, vol. 18(1), pages 1-40, 02.
  44. Franses, Ph.H.B.F. & Paap, R., 1998. "Modelling asymmetric persistence over the business cycle," Econometric Institute Research Papers EI 9852, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  45. Dieter Gerdesmeier & Hans-Eggert Reimers & Barbara Roffia, 2011. "Early Warning Indicators for Asset Price Booms," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-19, June.
  46. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009. "Real-Time Inflation Forecasting in a Changing World," Working Paper 2009/16, Norges Bank.
  47. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2008. "The Yield Curve and its Relation with Economic Activity: The Mexican Case," Working Papers 2008-15, Banco de México.
  48. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, vol. 28(2), pages 428-445.
  49. Hiroshi Nakaota & Yuichi Fukuta, 2013. "The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan," Discussion Papers in Economics and Business 13-09-Rev, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  50. Gilles DUFRENOT & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models," Macroeconomics 0309002, EconWPA.
  51. Periklis Gogas & Theophilos Papadimitriou & Maria Matthaiou & Efthymia Chrysanthidou, 2015. "Yield Curve and Recession Forecasting in a Machine Learning Framework," Computational Economics, Society for Computational Economics, vol. 45(4), pages 635-645, April.
  52. McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 258-273, April.
  53. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004. "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers 10616, National Bureau of Economic Research, Inc.
  54. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
  55. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
  56. Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 21-33.
  57. Robert G. Chambers & John Quiggin, . "Narrowing the No-Arbitrage Bounds," Risk & Uncertainty Working Papers WPR03_3, Risk and Sustainable Management Group, University of Queensland.
  58. Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Working Papers 00-5, Bank of Canada.
  59. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," PIER Working Paper Archive 03-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  60. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.
  61. Joseph G. Haubrich & Ann M. Dombrosky, 1996. "Predicting real growth using the yield curve," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 26-35.
  62. Langfeldt, Enno, 1994. "Die Zinsstruktur als Frühindikator für Konjunktur und Preisentwicklung in Deutschland," Kiel Working Papers 615, Kiel Institute for the World Economy.
  63. Arturo Estrella & Anthony P. Rodrigues, 1998. "Consistent covariance matrix estimation in probit models with autocorrelated errors," Staff Reports 39, Federal Reserve Bank of New York.
  64. Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, 2003. "El tramo corto de la estructura a plazo como predictor de expectativas de la actividad económica en Colombia," BORRADORES DE ECONOMIA 002559, BANCO DE LA REPÚBLICA.
  65. Carlo Favero & Iryna Kaminska & Ulf Soderstrom, 2005. "The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation," Working Papers 280, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  66. Fabian Lipinsky & Li Lian Ong, 2014. "Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?," IMF Working Papers 14/37, International Monetary Fund.
  67. Arthur Charpentier & Christophe Villa, 2010. "Generating Yield Curve Stress-Scenarios," Working Papers hal-00550582, HAL.
  68. 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.
  69. Gregory R. Duffee, 1996. "Treasury yields and corporate bond yield spreads: an empirical analysis," Finance and Economics Discussion Series 96-20, Board of Governors of the Federal Reserve System (U.S.).
  70. Ratcliff, Ryan, 2013. "The “probability of recession”: Evaluating probabilistic and non-probabilistic forecasts from probit models of U.S. recessions," Economics Letters, Elsevier, vol. 121(2), pages 311-315.
  71. James D. Hamilton & Dong Heon Kim, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," NBER Working Papers 7954, National Bureau of Economic Research, Inc.
  72. Milda Maria Burzala, 2012. "The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 73-88.
  73. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  74. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Society for Computational Economics, vol. 37(2), pages 193-220, February.
  75. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich.
  76. 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.
  77. Batool, Irem & Sieg, Gernot, 2009. "Bread, peace and the attrition of power: Economic events and German election results," Economics Department Working Paper Series 3, Technische Universität Braunschweig, Economics Department.
  78. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, vol. 17(1), pages 57-69.
  79. William English & Kostas Tsatsaronis & Edda Zoli, 2005. "Assessing the predictive power of measures of financial conditions for macroeconomic variables," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 228-52 Bank for International Settlements.
  80. Wolfgang Drobetz & Gabrielle Wanzenried, 2006. "What determines the speed of adjustment to the target capital structure?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(13), pages 941-958.
  81. Hartmann, Philipp & Hubrich, Kirstin & Kremer, Manfred & Tetlow, Robert J., 2013. "Melting down: Systemic financial instability and the macroeconomy," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80487, Verein für Socialpolitik / German Economic Association.
  82. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
  83. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 146(3), pages 573-589, September.
  84. Caporale, Guglielmo Maria & Di Colli, Stefano & Lopez, Juan Sergio, 2014. "Bank lending procyclicality and credit quality during financial crises," Economic Modelling, Elsevier, vol. 43(C), pages 142-157.
  85. Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 0397, European Central Bank.
  86. Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany.
  87. Thomas B. King & Andrew T. Levin & Roberto Perli, 2007. "Financial market perceptions of recession risk," Finance and Economics Discussion Series 2007-57, Board of Governors of the Federal Reserve System (U.S.).
  88. Katja Drechsel & Rolf Scheufele, 2010. "Should We Trust in Leading Indicators? Evidence from the Recent Recession," IWH Discussion Papers 10, Halle Institute for Economic Research.
  89. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
  90. Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3121-3140, December.
  91. Nimantha Manamperi, 2015. "A Comparative Analysis on US Financial Stress Indicators," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 613-623.
  92. Tao Wu, 2001. "Macro factors and the affine term structure of interest rates," Working Paper Series 2002-06, Federal Reserve Bank of San Francisco.
  93. 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.
  94. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
  95. Emilio Dominguez & Alfonso Novales, 2002. "A factor model of term structure slopes in Eurocurrency markets," Applied Economics Letters, Taylor & Francis Journals, vol. 9(9), pages 585-593.
  96. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
  97. Bank for International Settlements, 2008. "Financial market developments and their implications for monetary policy," BIS Papers, Bank for International Settlements, number 39, March.
  98. Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," NBER Working Papers 14863, National Bureau of Economic Research, Inc.
  99. Rodrigo Alfaro & Damián Romero, 2013. "A Note on Yield Spread and Output Growth," Working Papers Central Bank of Chile 700, Central Bank of Chile.
  100. Engsted, Tom, 1996. "The predictive power of the money market term structure," International Journal of Forecasting, Elsevier, vol. 12(2), pages 289-295, June.
  101. Mohamad Shaaf, 2000. "Predicting Recession Using the Yield Curve: An Artificial Intelligence and Econometric Comparison," Eastern Economic Journal, Eastern Economic Association, vol. 26(2), pages 171-190, Spring.
  102. Adrian, Tobias & Estrella, Arturo, 2008. "Monetary tightening cycles and the predictability of economic activity," Economics Letters, Elsevier, vol. 99(2), pages 260-264, May.
  103. 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.
  104. Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
  105. Michael Bleaney & Paul Mizen & Veronica Veleanu, . "Bond Spreads as Predictors of Economic Activity in Eight European Economies," Discussion Papers 12/11, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  106. Fornari, Fabio & Lemke, Wolfgang, 2010. "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series 1255, European Central Bank.
  107. Chen, Long & Zhang, Lu, 2011. "Do time-varying risk premiums explain labor market performance?," Journal of Financial Economics, Elsevier, vol. 99(2), pages 385-399, February.
  108. Mauro, Paolo, 2003. "Stock returns and output growth in emerging and advanced economies," Journal of Development Economics, Elsevier, vol. 71(1), pages 129-153, June.
  109. D'Amico, Stefania & English, William & López-Salido, J David & Nelson, Edward, 2012. "The Federal Reserve’s Large-Scale Asset Purchase Programs: Rationale and Effects," CEPR Discussion Papers 9145, C.E.P.R. Discussion Papers.
  110. Jan J J Groen & Ravi Balakrishnan, 2005. "Asset price based estimates of sterling exchange rate risk premia," Bank of England working papers 250, Bank of England.
  111. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2010. "Macro risk premium and intermediary balance sheet quantities," Staff Reports 428, Federal Reserve Bank of New York.
  112. Gerlach, Stefan, 2003. "Interpreting the term structure of interbank rates in Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 593-609, November.
  113. Harry. M Kat & Joelle Miffre, 2002. "Performance Evaluation and Conditioning Information: The case of Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2002-10, Henley Business School, Reading University.
  114. Moncef Kaabi & Patrick Artus, 1994. "Structure par terme des taux d'intérêt et reprise économique," Économie et Prévision, Programme National Persée, vol. 112(1), pages 87-99.
  115. Pontuch, Peter, 2011. "Product Market Concentration, Financing Constraints, and Firms' Business Cycle Sensitivity," Economics Papers from University Paris Dauphine 123456789/6271, Paris Dauphine University.
  116. Kitlinski, Tobias, 2015. "With or without you: Do financial data help to forecast industrial production?," Ruhr Economic Papers 558, Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  117. Krishnaswami, Sudha & Yaman, Devrim, 2008. "The role of convertible bonds in alleviating contracting costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 792-816, November.
  118. Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," Working Paper Series 0691, European Central Bank.
  119. Chang, Kuang Liang & Chen, Nan Kuang & Leung, Charles Ka Yui, 2011. "The Dynamics of Housing Returns in Singapore: How Important are the International Transmission Mechanisms?," MPRA Paper 32255, University Library of Munich, Germany.
  120. Nathan Bedock & Dalibor Stevanovic, 2012. "An Empirical Study of Credit Shock Transmission in a Small Open Economy," CIRANO Working Papers 2012s-16, CIRANO.
  121. Croushore, Dean & Marsten, Katherine, 2014. "The continuing power of the yield spread in forecasting recessions," Working Papers 14-5, Federal Reserve Bank of Philadelphia.
  122. Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  123. Arabinda Basistha & Richard Startz, 2004. "Why were changes in the federal funds rate smaller in the 1990s?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 339-354.
  124. John Y. Campbell, 1993. "Understanding Risk and Return," NBER Working Papers 4554, National Bureau of Economic Research, Inc.
  125. 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.
  126. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," EconomiX Working Papers 2009-28, University of Paris West - Nanterre la Défense, EconomiX.
  127. repec:onb:oenbwp:y::i:37:b:1 is not listed on IDEAS
  128. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  129. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  130. Michael Feroli, 2004. "Monetary policy and the information content of the yield spread," Finance and Economics Discussion Series 2004-44, Board of Governors of the Federal Reserve System (U.S.).
  131. Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers 115, Bank of Greece.
  132. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers 05-36, Bank of Canada.
  133. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  134. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
  135. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  136. Jeremy J. Nalewaik, 2008. "Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data," Finance and Economics Discussion Series 2008-15, Board of Governors of the Federal Reserve System (U.S.).
  137. Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
  138. Simon M. Potter & Edward E. Leamer, 2004. "A Nonlinear Model of the Business Cycle," Econometric Society 2004 North American Winter Meetings 490, Econometric Society.
  139. Arturo Estrella, 1997. "Why do interest rates predict macro outcomes?: A unified theory of inflation, output, interest and policy," Research Paper 9717, Federal Reserve Bank of New York.
  140. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
  141. Gogas, Periklis & Chionis, Dionisios & Pragkidis, Ioannis, 2009. "Predicting European Union recessions in the euro era: The yield curve as a forecasting tool of economic activity," MPRA Paper 13911, University Library of Munich, Germany.
  142. Dalu Zhang & Peter Moffatt, 2012. "The yield curve as a leading indicator in economic forecasting in the U.K," University of East Anglia Applied and Financial Economics Working Paper Series 035, School of Economics, University of East Anglia, Norwich, UK..
  143. Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer, 2013. "Reference Dependent Preferences and the EPK Puzzle," SFB 649 Discussion Papers SFB649DP2013-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  144. André Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers 2012-011, Federal Reserve Bank of St. Louis.
  145. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany.
  146. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
  147. 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).
  148. Michael Bordo & Joseph Haubrich, 2004. "The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997," Econometric Society 2004 North American Summer Meetings 165, Econometric Society.
  149. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
  150. Gregory R. Duffee, 1994. "On measuring credit risks of derivative instruments," Finance and Economics Discussion Series 94-27, Board of Governors of the Federal Reserve System (U.S.).
  151. Duarte, A. & Venetis, I. & Payá, I., 2004. "Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 21, Abril.
  152. 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.
  153. Becker, Bo & Ivashina, Victoria, 2014. "Cyclicality of credit supply: Firm level evidence," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 76-93.
  154. Martin Feldstein & James H. Stock, 1993. "The Use of Monetary Aggregate to Target Nominal GDP," NBER Working Papers 4304, National Bureau of Economic Research, Inc.
  155. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October.
  156. Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 20-35.
  157. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2000. "How stable is the predictive power of the yield curve? evidence from Germany and the United States," Staff Reports 113, Federal Reserve Bank of New York.
  158. Peel, David A. & Ioannidis, Christos, 2003. "Empirical evidence on the relationship between the term structure of interest rates and future real output changes when there are changes in policy regimes," Economics Letters, Elsevier, vol. 78(2), pages 147-152, February.
  159. Helen Popper, 1995. "Term premia comovement in German, Japanese, and U.S. domestic markets," Open Economies Review, Springer, vol. 6(1), pages 49-62, January.
  160. Phil Bodman, . "Are the Effects of Monetary Policy Asymmetric in Australia?," MRG Discussion Paper Series 0406, School of Economics, University of Queensland, Australia.
  161. Antonio Mele, 2009. "Financial Volatility and Economic Activity," FMG Discussion Papers dp642, Financial Markets Group.
  162. 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 Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  163. Iryna V. Ivaschenko, 2003. "How Much Leverage is too Much, or Does Corporate Risk Determine the Severity of a Recession?," IMF Working Papers 03/3, International Monetary Fund.
  164. Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
  165. Joelle Miffre, 2000. "The Abnormal Performance of Bond Returns," ICMA Centre Discussion Papers in Finance icma-dp2000-03, Henley Business School, Reading University.
  166. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
  167. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
  168. Marcelle Chauvet & Simon Potter, 2001. "Forecasting recessions using the yield curve," Staff Reports 134, Federal Reserve Bank of New York.
  169. Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
  170. Djuranovik, Leslie, 2014. "The Indonesian macroeconomy and the yield curve: A dynamic latent factor approach," Journal of Asian Economics, Elsevier, vol. 34(C), pages 1-15.
  171. Galbraith, John W. & Tkacz, Greg, 2000. "Testing for asymmetry in the link between the yield spread and output in the G-7 countries," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 657-672, October.
  172. Arturo Estrella & Frederic S. Mishkin, 1995. "The term structure of interest rates and its role in monetary policy for the European Central Bank," Research Paper 9526, Federal Reserve Bank of New York.
  173. Angelos Kanas, 2009. "The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006," Journal of Economics and Finance, Springer, vol. 33(2), pages 111-127, April.
  174. Stângă, Irina M., 2014. "Bank bailouts and bank-sovereign risk contagion channels," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 17-40.
  175. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
  176. Peter Woehrmann, . "A dynamic model of the financial–real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers 226, Institute for Empirical Research in Economics - University of Zurich.
  177. Nico Valckx, 2004. "The decomposition of US and Euro area stock and bond returns and their sensitivity to economic state variables," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 149-173.
  178. Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
  179. Rolando Pelàez, 2007. "Ex ante forecasts of business-cycle turning points," Empirical Economics, Springer, vol. 32(1), pages 239-246, April.
  180. Benjamin M. Friedman, 1993. "The role of judgment and discretion in the conduct of monetary policy: consequences of changing financial markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 151-225.
  181. Vaihekoski, Mika, 1998. "Short-term returns and the predictability of Finnish stock returns," MPRA Paper 13984, University Library of Munich, Germany.
  182. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York.
  183. Anjeza Kadilli, 2014. "Return Predictability in International Financial Markets and the Role of Investor Sentiment," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 14083, Institut d'Economie et Econométrie, Université de Genève.
  184. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
  185. Robert B. Kahn & Linda S. Kole, 1993. "Monetary transmission channels in major foreign industrial countries," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  186. Jean-Francois Fillion, 1995. "L'endettement du secteur prive au Canada: un examen macroeconomique," Macroeconomics 9502006, EconWPA.
  187. Lucjan T. Orlowski & Kirsten Lommatzsch, 2005. "Bond Yield Compression in the Countries Converging to the Euro," William Davidson Institute Working Papers Series wp799, William Davidson Institute at the University of Michigan.
  188. Fabio Canova & Gianni de Nicoló, 1999. "On the sources of business cycles in the G-7," Economics Working Papers 459, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2000.
  189. Matiur Rahman & Muhammad Mustafa, 2009. "The Slope of the U.S. Nominal Treasury Yield Curve and the Exchange Rate," New York Economic Review, New York State Economics Association (NYSEA), vol. 40(1), pages 3-12.
  190. Anna Piretti & Charles St-Arnaud, 2006. "Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies," Working Papers 06-22, Bank of Canada.
  191. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
  192. Minoas Koukouritakis, 2010. "Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 145(4), pages 757-774, January.
  193. Simon Gilchrist & Benoît Mojon, 2014. "Credit Risk in the Euro Area," NBER Working Papers 20041, National Bureau of Economic Research, Inc.
  194. Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
  195. John Morton & Paul Wood, 1993. "Interest rate operating procedures of foreign central banks," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  196. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560.
  197. Farruggio, Christian & Uhde, André, 2015. "Determinants of loan securitization in European banking," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 12-27.
  198. Jorge A. Chan-Lau & Srobona Mitra & Li L. Ong, 2007. "Contagion Risk in the International Banking System and Implications for London As a Global Financial Center," IMF Working Papers 07/74, International Monetary Fund.
  199. Luca Guerrieri & Michelle Welch, 2012. "Can macro variables used in stress testing forecast the performance of banks?," Finance and Economics Discussion Series 2012-49, Board of Governors of the Federal Reserve System (U.S.).
  200. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
  201. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2003. "The Euro and Corporate Valuations," SSE/EFI Working Paper Series in Economics and Finance 525, Stockholm School of Economics, revised 06 Dec 2003.
  202. Evans, Charles L. & Marshall, David A., 2007. "Economic determinants of the nominal treasury yield curve," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1986-2003, October.
  203. Bertrand Candelon & Norbert Metiu & Stefan Straetmans, 2014. "Disentangling economic recessions and depressions," Working Papers 2014-328, Department of Research, Ipag Business School.
  204. 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, The Rimini Centre for Economic Analysis.
  205. Zagaglia, Paolo, 2006. "The Predictive Power of the Yield Spread under the Veil of Time," Research Papers in Economics 2006:4, Stockholm University, Department of Economics.
  206. Dufrenot, Gilles & Mignon, Valerie & Peguin-Feissolle, Anne, 2004. "Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models," Economic Modelling, Elsevier, vol. 21(1), pages 37-71, January.
  207. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
  208. Theobald, Thomas, 2013. "Markov Switching with Endogenous Number of Regimes and Leading Indicators in a Real-Time Business Cycle Forecast," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79911, Verein für Socialpolitik / German Economic Association.
  209. Michael Dotsey, 1998. "The predictive content of the interest rate term spread for future economic growth," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 31-51.
  210. Angelos Kanas, 2010. "A note on the relation between the equity risk premium and the term structure," Journal of Economics and Finance, Springer, vol. 34(1), pages 89-95, January.
  211. Ana Beatriz C. Galvao, 2006. "Structural break threshold VARs for predicting US recessions using the spread," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 463-487.
  212. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
  213. Panopoulou, Ekaterini, 2007. "Predictive financial models of the euro area: A new evaluation test," International Journal of Forecasting, Elsevier, vol. 23(4), pages 695-705.
  214. Lange, Ronald H., 2015. "International long-term yields and monetary policy in a small open economy: The case of Canada," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 292-310.
  215. Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2009/35, University of Stavanger.
  216. Luis Eduardo Arango & Angélica María Arosemena, 2003. "El tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," BORRADORES DE ECONOMIA 002558, BANCO DE LA REPÚBLICA.
  217. Vithessonthi, Chaiporn, 2014. "What explains the initial return of initial public offerings after the 1997 Asian financial crisis? Evidence from Thailand," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 89-113.
  218. Nakaota, Hiroshi & Fukuta, Yuichi, 2013. "The leading indicator property of the term spread and the monetary policy factors in Japan," Japan and the World Economy, Elsevier, vol. 28(C), pages 85-98.
  219. Michael Bleaney & Paul Mizen & Veronica Veleanu, 2013. "Bond Spreads and Economic Activity in Eight European Economies," Discussion Papers 2013/09, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  220. Minoas Koukouritakis & Leo Michelis, 2006. "The Term Structure of Interest Rates in the European Union," Working Papers 0611, University of Crete, Department of Economics.
  221. 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.
  222. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
  223. 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, Department of Economics.
  224. 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.
  225. Todd E. Clark & Michael W. McCracken, 2009. "Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(2), pages 363-395, 05.
  226. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada.
  227. Reinhart, Carmen & Reinhart, Vincent, 1996. "Forecasting turning points in Canada," MPRA Paper 13884, University Library of Munich, Germany.
  228. Ivan Paya & Kent Matthews, 2004. "Term spread and real economic activity in Korea: was the crisis predictable?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 797-801.
  229. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
  230. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
  231. Follain, James R. & Giertz, Seth H., 2011. "Using Monte Carlo simulations to establish a new house price stress test," Journal of Housing Economics, Elsevier, vol. 20(2), pages 101-119, June.
  232. Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Working Papers 14-42, Bank of Canada.
  233. Ng, Eric C.Y., 2012. "Forecasting US recessions with various risk factors and dynamic probit models," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 112-125.
  234. Victor Zarnowitz, 2001. "The Old and the New in the U.S. Economic Expansion," Economics Program Working Papers 01-01, The Conference Board, Economics Program.
  235. repec:dgr:uvatin:20130142 is not listed on IDEAS
  236. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
  237. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers 2008_36, Business School - Economics, University of Glasgow.
  238. Simon Gilchrist & Egon Zakrajšek, 2011. "Credit Spreads and Business Cycle Fluctuations," NBER Working Papers 17021, National Bureau of Economic Research, Inc.
  239. Farzan Aminian & E. Suarez & Mehran Aminian & Daniel Walz, 2006. "Forecasting Economic Data with Neural Networks," Computational Economics, Society for Computational Economics, vol. 28(1), pages 71-88, August.
  240. Glenn D. Rudebusch & John C. Williams, 2007. "Forecasting recessions: the puzzle of the enduring power of the yield curve," Working Paper Series 2007-16, Federal Reserve Bank of San Francisco.
  241. Gustavo Silva Araújo & José Valentim Machado Vicente, 2014. "Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal," Working Papers Series 361, Central Bank of Brazil, Research Department.
  242. Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance icma-dp2001-08, Henley Business School, Reading University.
  243. Tanner, J. Ernest & Pescatrice, Donn, 1998. "Was Monetary Policy Impotent or Simply Contracyclical in the 1980s?," Journal of Macroeconomics, Elsevier, vol. 20(1), pages 55-80, January.
  244. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
  245. 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.
  246. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile.
  247. Georgopoulos, George & Hejazi, Walid, 2009. "Financial structure and the heterogeneous impact of monetary policy across industries," Journal of Economics and Business, Elsevier, vol. 61(1), pages 1-33.
  248. repec:wyi:journl:002109 is not listed on IDEAS
  249. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc.
  250. 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.
  251. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print hal-00732517, HAL.
  252. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2012. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2012-09, Board of Governors of the Federal Reserve System (U.S.).
  253. Jonathan H. Wright, 2006. "The yield curve and predicting recessions," Finance and Economics Discussion Series 2006-07, Board of Governors of the Federal Reserve System (U.S.).
  254. Drakos, Konstantinos, 2001. "Monetary policy and the yield curve in an emerging market: the Greek case," Emerging Markets Review, Elsevier, vol. 2(3), pages 244-262, September.
  255. Pu, Xiaoling & Zhao, Xinlei, 2012. "Correlation in credit risk changes," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1093-1106.
  256. Christian Gollier, 2005. "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series 1375, CESifo Group Munich.
  257. Hafer, R. W. & Kutan, Ali M. & Su Zhou, 1997. "Linkage in EMS term structures: evidence from common trend and transitory components," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 595-607, August.
  258. John Kambhu & Patricia C. Mosser, 2001. "The effect of interest rate options hedging on term-structure dynamics," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 51-70.
  259. A. Mansur & M. Masih & Vicky Ryan, 2005. "The term structure of interest rates in Australia: an application of long run structural modelling," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 557-573.
  260. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis.
  261. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
  262. Jim Clayton, 1996. "Market Fundamentals, Risk and the Canadian Property Cycle: Implications for Property Valuation and Investment Decisions," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 347-368.
  263. N. Valckx, 2001. "Stock and Bond Market Sensitivities to Monetary Variables," WO Research Memoranda (discontinued) 680, Netherlands Central Bank, Research Department.
  264. Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
  265. Petra Gerlach-Kristen, 2007. "Three aspects of the Swiss term structure: an empirical survey," Financial Markets and Portfolio Management, Springer, vol. 21(2), pages 221-240, June.
  266. Alfred V Guender & Bernard Tolan, 2013. "The Centre Matters for the Periphery of Europe: The Predictive Ability of a GZ-Type Spread for Economic Activity in Europe," Working Papers in Economics 13/29, University of Canterbury, Department of Economics and Finance.
  267. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
  268. Yu-chin Chen & Kwok Ping Tsang, 2009. "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers UWEC-2009-04, University of Washington, Department of Economics.
  269. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
  270. Sauer, Christine & Scheide, Joachim, 1995. "Money, interest rate spreads, and economic activity," Open Access Publications from Kiel Institute for the World Economy 1664, Kiel Institute for the World Economy (IfW).
  271. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
  272. Michael Bowe & Nikolaos Mylonidis, 1999. "Is the European Capital Market Ready for the Single Currency?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 1-32.
  273. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Working Papers 07-21, Bank of Canada.
  274. Melendres Howe, 2000. "Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 176-195.
  275. Björn O. Meyer, 2014. "The Role of Sentiment in the Provision of Credit," Kiel Advanced Studies Working Papers 466, Kiel Institute for the World Economy.
  276. Thomas Theobald, 2012. "Real-time Markov Switching and Leading Indicators in Times of the Financial Crisis," IMK Working Paper 98-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  277. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014. "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
  278. Alois Geyer & Richard Mader, 1999. "Estimation of the term structure of interest rates - A parametric approach," Working Papers 37, Oesterreichische Nationalbank (Austrian Central Bank).
  279. Hogrefe, Jens, 2007. "The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy," Economics Working Papers 2007,12, Christian-Albrechts-University of Kiel, Department of Economics.
  280. Abdul Majid, Muhamed Zulkhibri, 2011. "Predicting Output and Inflation in Less Developed Financial Markets Using the Yield Curve: Evidence from Malaysia," MPRA Paper 29039, University Library of Munich, Germany.
  281. Juan Ignacio Pena & Rosa Rodriguez, 2006. "On The Economic Link Between Asset Prices And Real Activity," Business Economics Working Papers wb063209, Universidad Carlos III, Departamento de Economía de la Empresa.
  282. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  283. Gollier, Christian, 2003. "Transitory Shocks to GNP and the Consumption-Based Term Structure of Interest Rates," IDEI Working Papers 175, Institut d'Économie Industrielle (IDEI), Toulouse.
  284. Chan Guk Huh, 1993. "Interest rate spreads as indicators for monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar26.
  285. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  286. 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.
  287. Abbas Valadkhani, 2003. "Does The Term Structure Predict Australia’S Future Output Growth?," School of Economics and Finance Discussion Papers and Working Papers Series 139, School of Economics and Finance, Queensland University of Technology.
  288. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
  289. Gu, Jingping & Liang, Zhongwen, 2014. "Testing cointegration relationship in a semiparametric varying coefficient model," Journal of Econometrics, Elsevier, vol. 178(P1), pages 57-70.
  290. Chi-Sang Tam & Ip-Wing Yu, 2008. "Modelling sovereign bond yield curves of the US, Japan and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 82-91.
  291. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  292. Gallegati, Marco & Ramsey, James B. & Semmler, Willi, 2014. "Interest rate spreads and output: A time scale decomposition analysis using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 283-290.
  293. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  294. Rajan Goyal & K. Kanagasabapathy, 2002. "Yield Spread As a Leading Indicator of Real Economic Activity; An Empirical Exerciseon the Indian Economy," IMF Working Papers 02/91, International Monetary Fund.
  295. Catherine BRUNEAU & Eric JONDEAU, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annales d'Economie et de Statistique, ENSAE, issue 54, pages 23-45.
  296. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  297. 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.
  298. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  299. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, 2007. "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England.
  300. Rodriguez, Abel & Puggioni, Gavino, 2010. "Mixed frequency models: Bayesian approaches to estimation and prediction," International Journal of Forecasting, Elsevier, vol. 26(2), pages 293-311, April.
  301. António R. Antunes & Diana Bonfim & Nuno Monteiro & Paulo M.M. Rodrigues, 2014. "Early Warning Indicators of Banking Crises: Exploring new Data and Tools," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  302. 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, vol. 2(4), pages 339-365, November.
  303. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios, 2004. "The Yield Spread as a Symmetric Predictor of Output and Inflation," CEPR Discussion Papers 4314, C.E.P.R. Discussion Papers.
  304. Cooper, Ilan & Priestley, Richard, 2011. "Real investment and risk dynamics," Journal of Financial Economics, Elsevier, vol. 101(1), pages 182-205, July.
  305. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, vol. 110(2), pages 358-386.
  306. Irina Stanga, 2011. "Sovereign and Bank Credit Risk during the Global Financial Crisis," DNB Working Papers 314, Netherlands Central Bank, Research Department.
  307. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003. "Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
  308. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Working Papers 97-10, Bank of Canada.
  309. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics.
  310. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  311. Farshid Vahid & Lin Luo, 2004. "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings 232, Econometric Society.
  312. Feridun, Mete, 2006. "Long-Run Relationship between Economic Growth and Stock Returns: An Empirical Investigation on Canada and the United States," MPRA Paper 737, University Library of Munich, Germany.
  313. Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
  314. Guérin, Pierre & Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
  315. Joshua V. Rosenberg & Samuel Maurer, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 1-11.
  316. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
  317. Zagaglia, Paolo, 2006. "Does the Yield Spread Predict the Output Gap in the U.S.?," Research Papers in Economics 2006:5, Stockholm University, Department of Economics.
  318. Barry Cozier & Greg Tkacz, 1994. "The Term Structure and Real Activity in Canada," Macroeconomics 9406001, EconWPA, revised 23 Jun 1994.
  319. Chadha, J.S. & Holly, S., 2006. "Macroeconomic Models and the Yield Curve: An assessment of the Fit," Cambridge Working Papers in Economics 0640, Faculty of Economics, University of Cambridge.
  320. 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.
  321. Sugita, Katsuhiro, 2006. "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers 2006-14, Graduate School of Economics, Hitotsubashi University.
  322. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
  323. Kuosmanen, Petri & Vataja, Juuso, 2011. "The role of stock markets vs. the term spread in forecasting macrovariables in Finland," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 124-132, May.
  324. Christopher Otrok & Andre Kurmann, 2011. "News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models," 2011 Meeting Papers 426, Society for Economic Dynamics.
  325. J.D. Hollingworth, 1997. "Leading Indicators of Australian Recessions: Part 2," Economics Discussion / Working Papers 97-17, The University of Western Australia, Department of Economics.
  326. Wolfgang Drobetz & Pascal Pensa & Gabrielle Wanzenried, 2007. "Firm Characteristics, Economic Conditions and Capital Structure Adjustment," Working papers 2007/16, Faculty of Business and Economics - University of Basel.
  327. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
  328. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.02, Université de Lausanne, Faculté des HEC, DEEP.
  329. Chikashi Tsuji, 2005. "Does the term structure predict real economic activity in Japan?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(4), pages 249-257, July.
  330. Chee Jin Yap & Gerard Gannon, 2007. "Factors Affecting the Credit Spreads Behaviour of USD Malaysian Bonds," Accounting, Finance, Financial Planning and Insurance Series 2007_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  331. X. Wang & Bill Yang, 2012. "Yield Curve Inversion and the Incidence of Recession: A Dynamic IS-LM Model with Term Structure of Interest Rates," International Advances in Economic Research, International Atlantic Economic Society, vol. 18(2), pages 177-185, May.
  332. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, Reading University.
  333. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
  334. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York.
  335. Kao, Yi-Cheng & Kuan, Chung-Ming & Chen, Shikuan, 2013. "Testing the predictive power of the term structure without data snooping bias," Economics Letters, Elsevier, vol. 121(3), pages 546-549.
  336. Francis Bismans & Reynald Majetti, 2013. "Forecasting recessions using financial variables: the French case," Empirical Economics, Springer, vol. 44(2), pages 419-433, April.
  337. Chen, XiaoHua & Maringer, Dietmar, 2011. "Detecting time-variation in corporate bond index returns: A smooth transition regression model," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 95-103, January.
  338. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Centre de Recherche en Economie et Statistique.
  339. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy.
  340. Ferreira García, María Eva & Rubio Irigoyen, Gonzalo & Martínez, María Isabel & Navarro, Eliseo, 2005. "Consumer Confidence and Yield Spreads in Europe," DFAEII Working Papers 2005-11, University of the Basque Country - Department of Foundations of Economic Analysis II.
  341. Ivan Paya & David A. Peel & Ioannis A. Venetis, 2004. "Asymmetry In The Link Between The Yield Spread And Industrial Production. Threshold Effects And Forecasting," Working Papers. Serie AD 2004-41, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  342. Nneji, Ogonna & Brooks, Chris & Ward, Charles W.R., 2013. "House price dynamics and their reaction to macroeconomic changes," Economic Modelling, Elsevier, vol. 32(C), pages 172-178.
  343. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
  344. Zhu, Xiaoneng & Rahman, Shahidur, 2015. "A regime-switching Nelson–Siegel term structure model of the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 1-17.
  345. Buchmann, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
  346. León, Ángel & Sebestyén, Szabolcs, 2012. "New measures of monetary policy surprises and jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2323-2343.
  347. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
  348. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
  349. Idrovo Aguirre, Byron, 2006. "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
    [An estimation of short and long term rates spread: a leading indicator]
    ," MPRA Paper 11116, University Library of Munich, Germany, revised 12 Mar 2007.
  350. Filippo COSSETTI & Francesco GUIDI, 2009. "ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis," Working Papers 334, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  351. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
  352. Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers 0535, University of Heidelberg, Department of Economics.
  353. Koukouritakis, Minoas, 2013. "Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries," Research in Economics, Elsevier, vol. 67(3), pages 243-258.
  354. Arif Dar & Amaresh Samantaraya & Firdous Shah, 2014. "The predictive power of yield spread: evidence from wavelet analysis," Empirical Economics, Springer, vol. 46(3), pages 887-901, May.
  355. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
  356. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
  357. 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, vol. 20, pages 583-598, Diciembre.
  358. Bhaduri, Saumitra & Saraogi, Ravi, 2010. "The predictive power of the yield spread in timing the stock market," Emerging Markets Review, Elsevier, vol. 11(3), pages 261-272, September.
  359. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.
  360. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
  361. Franses, Ph.H.B.F. & Paap, R., 1998. "Censored latent effects autoregression, with an application to US unemployment," Econometric Institute Research Papers EI 9841, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  362. Hanns Hagen & Gebhard Kirchgässner, 1996. "Interest rate-based forecasts of german economic growth: A note," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 763-773, December.
  363. 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.
  364. Kieran Walsh, 2014. "Portfolio Choice and Partial Default in Emerging Markets: a quantitative analysis," 2014 Meeting Papers 789, Society for Economic Dynamics.
  365. Zaher, Fadi, 2007. "Evaluating factor forecasts for the UK: The role of asset prices," International Journal of Forecasting, Elsevier, vol. 23(4), pages 679-693.
  366. Arusha Cooray, 2003. "A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1819-1827.
  367. Philip Lowe, 1992. "The Term Structure of Interest Rates, Real Activity and Inflation," RBA Research Discussion Papers rdp9204, Reserve Bank of Australia.
  368. Peel, David A. & Taylor, Mark P., 1998. "The slope of the yield curve and real economic activity: tracing the transmission mechanism," Economics Letters, Elsevier, vol. 59(3), pages 353-360, June.
  369. 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.
  370. Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong, 2011. "The financial stress index: identification of systemic risk conditions," Working Paper 1130, Federal Reserve Bank of Cleveland.
  371. Miffre, Joelle, 2001. "Economic activity and time variation in expected futures returns," Economics Letters, Elsevier, vol. 73(1), pages 73-79, October.
  372. G. Peersman, 2011. "Bank Lending Shocks and the Euro Area Business Cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/766, Ghent University, Faculty of Economics and Business Administration.
  373. James L. Butkiewicz & Kim Lane Leong Long, 2003. "Predicting Interwar Business Cycles with the Interest Rate Yield Spread," Working Papers 03-07, University of Delaware, Department of Economics.
  374. Matthew C. Li, 2014. "The US zero-coupon yield spread as a predictor of excess daily stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 24(13), pages 889-906, July.
  375. Watkins, Clinton, 1997. "The term structure of interest rates and economic activity: An empirical critique," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 487-493.
  376. 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.
  377. Krishnaswami, Sudha & Yaman, Devrim, 2007. "Contracting costs and the window of opportunity for straight debt issues," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 869-888, March.
  378. Lekkos, Ilias, 2007. "Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 783-817, December.
  379. 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, issue Sep, pages 419-440.
  380. Proaño, Christian R. & Theobald, Thomas, 2014. "Predicting recessions with a composite real-time dynamic probit model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 898-917.
  381. Alfonso Novales & Emilio Domínguez, 2002. "Dynamic correlations and forecasting of term structure slopes in eurocurrency market," Documentos de Trabajo del ICAE 0226, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  382. Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  383. Amihud, Yakov & Hurvich, Clifford M. & Wang, Yi, 2010. "Predictive regression with order-p autoregressive predictors," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 513-525, June.
  384. Paye, Bradley S., 2012. "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 106(3), pages 527-546.
  385. Patel, Ajay & Shoesmith, Gary L., 2004. "Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2051-2075, September.
  386. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
  387. Bruce Kasman, 1993. "A comparison of monetary policy operating procedures in six industrial countries," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  388. Abad, Pilar & Novales, Alfonso, 2005. "An error correction factor model of term structure slopes in international swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 229-254, July.
  389. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
  390. Hoon Cho & Brian Ciochetti & James Shilling, 2013. "Are Commercial Mortgage Defaults Affected by Tax Considerations?," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 1-23, January.
  391. Benjamin M. Friedman, 1993. "The Role of Judgment and Discretion in the Conduct of Monetary Policy: Consequences of Changing Financial Markets," NBER Working Papers 4599, National Bureau of Economic Research, Inc.
  392. Marco Del Negro, 2001. "Turn, turn, turn: Predicting turning points in economic activity," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 1-12.
  393. Hiroshi Nakaota & Yuichi Fukuta, 2013. "The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan," Discussion Papers in Economics and Business 13-09, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Jul 2013.
  394. Dimitrios Subeniotis & Dimitrios Papadopoulos & Ioannis Tampakoudis & Athina Tampakoudi, 2011. "How Inflation, Market Capitalization, Industrial Production and the Economic Sentiment Indicator Affect the EU-12 Stock Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 105-120.
  395. McKeirnan, Barbara, 1996. "Consumption and the credit market," Economics Letters, Elsevier, vol. 51(1), pages 83-88, April.
  396. Franck Sédillot, 2001. "La pente des taux contient-elle de l’information sur l’activité économique future ?," Économie et Prévision, Programme National Persée, vol. 147(1), pages 141-157.
  397. Schock, Matthias, 2014. "Do Eurozone yield spreads predict recessions?," Hannover Economic Papers (HEP) dp-532, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  398. Jean-Francois Fillion, . "L'endettement du secteur prive au Canada: un examen macroeconomique," Working Papers 94-7, Bank of Canada.
  399. Lazzarini, S. G. & Madalozzo, R. C & Artes, R. & Siqueira, J. O., 2004. "Measuring trust: An experiment in Brazil," Insper Working Papers wpe_42, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  400. Paya, Ivan & Matthews, Kent & Peel, David, 2005. "The term spread and real economic activity in the US inter-war period," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 331-343, June.
  401. Candelon Bertrand & Dumitrescu Elena-Ivona & Hurlin Christophe, 2010. "How to evaluate an Early Warning System? Towards a United Statistical Framework for Assessing Financial Crises Forecasting Methods," Research Memorandum 046, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  402. Drobetz, Wolfgang & Kugler, Peter & Wanzenried, Gabrielle & Zimmermann, Heinz, 2009. "Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 84-93, March.
  403. Michael Dueker, 1997. "Strengthening the case for the yield curve as a predictor of U.S. recessions," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 41-51.
  404. Jesús Vázquez, 2009. "Does the term spread play a role in the fed funds rate reaction function? An empirical investigation," Empirical Economics, Springer, vol. 36(1), pages 175-199, February.
  405. Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
  406. Zhiwei Zhang, 2002. "Corporate Bond Spreads and the Business Cycle," Working Papers 02-15, Bank of Canada.
  407. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
  408. Kenneth N Kuttner, 2008. "Equity prices as leading indicators: the Asian experience," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial market developments and their implications for monetary policy, volume 39, pages 167-192 Bank for International Settlements.
  409. James H. Stock & Mark M. Watson, 2003. "How did leading indicator forecasts perform during the 2001 recession?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 71-90.
  410. Schock, Matthias, 2015. "Predicting Economic Activity via Eurozone Yield Spreads: Impact of Credit Risk," Hannover Economic Papers (HEP) dp-542, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  411. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "The Corporate Spread Curve and Industrial Production in the United States," IMF Working Papers 02/8, International Monetary Fund.
  412. James Kung, 2008. "Dynamic strategies for fixed-income investment," Applied Economics, Taylor & Francis Journals, vol. 40(10), pages 1341-1354.
  413. Boulier, Bryan L. & Stekler, H. O., 2000. "The term spread as a monthly cyclical indicator: an evaluation," Economics Letters, Elsevier, vol. 66(1), pages 79-83, January.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.