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Citations for "Forecasting recessions: the puzzle of the enduring power of the yield curve"

by Glenn D. Rudebusch & John C. Williams

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  1. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," CEF.UP Working Papers 1004, Universidade do Porto, Faculdade de Economia do Porto.
  2. Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Javier Sosvilla Rivero, 2013. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," Documentos de Trabajo del ICAE 2013-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. Chatterjee, Ujjal K., 2016. "Do stock market trading activities forecast recessions?," Economic Modelling, Elsevier, vol. 59(C), pages 370-386.
  4. 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.
  5. Charlotte Christiansen, 2011. "Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators," CREATES Research Papers 2011-20, Department of Economics and Business Economics, Aarhus University.
  6. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
  7. Rachidi Kotchoni & Dalibor Stevanovic, 2016. "Forecasting U.S. Recessions and Economic Activity," CIRANO Working Papers 2016s-36, CIRANO.
  8. Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
  9. Guérin, Pierre & Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
  10. Croushore, Dean & Marsten, Katherine, 2016. "Do GDP Forecasts Respond Efficiently to Changes in Interest Rates?," Working Papers 16-17, Federal Reserve Bank of Philadelphia.
  11. Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, vol. 29(1), pages 175-190.
  12. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  13. 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.
  14. 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.
  15. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
  16. Giusto, Andrea & Piger, Jeremy, 2017. "Identifying business cycle turning points in real time with vector quantization," International Journal of Forecasting, Elsevier, vol. 33(1), pages 174-184.
  17. Apergis, Nicholas & Artikis, Panagiotis G. & Kyriazis, Dimitrios, 2015. "Does stock market liquidity explain real economic activity? New evidence from two large European stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 42-64.
  18. Anna Florio, 2016. "The central bank as shaper and observer of events: The case of the yield spread," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 320-346, February.
  19. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011. "Extracting deflation probability forecasts from Treasury yields," Working Paper Series 2011-10, Federal Reserve Bank of San Francisco.
  20. Ray C. Fair, 2009. "Analyzing Macroeconomic Forecastability," Cowles Foundation Discussion Papers 1706, Cowles Foundation for Research in Economics, Yale University, revised Aug 2010.
  21. Marie Bessec, 2016. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Working Papers hal-01358595, HAL.
  22. Lahiri, Kajal & Monokroussos, George & Zhao, Yongchen, 2013. "The yield spread puzzle and the information content of SPF forecasts," Economics Letters, Elsevier, vol. 118(1), pages 219-221.
  23. António Afonso & Manuel M. F. Martins, 2010. "Level, Slope, Curvature of Sovereign Yield Curve and Fiscal Behaviour," Working Papers Department of Economics 2010/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  24. Lahiri, Kajal & Yang, Liu, 2013. "Forecasting Binary Outcomes," Handbook of Economic Forecasting, Elsevier.
  25. Mario Meichle & Angelo Ranaldo & Attilio Zanetti, 2011. "Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 435-453, December.
  26. 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.
  27. Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
  28. Galbraith, John W. & van Norden, Simon, 2011. "Kernel-based calibration diagnostics for recession and inflation probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1041-1057, October.
  29. Candelon, Bertrand & Metiu, Norbert & Straetmans, Stefan, 2013. "Disentangling economic recessions and depressions," Discussion Papers 43/2013, Deutsche Bundesbank, Research Centre.
  30. Kishor, N. Kundan & Koenig, Evan F., 2010. "Yield spreads as predictors of economic activity: a real-time VAR analysis," Working Papers 1008, Federal Reserve Bank of Dallas.
  31. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2008. "The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach," Working Papers 0803, Brock University, Department of Economics.
  32. Seitz, Franz & Albuquerque, Bruno & Baumann, Ursel, 2015. "The Information Content Of Money And Credit For US Activity," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113066, Verein für Socialpolitik / German Economic Association.
  33. Lahiri, Kajal & Yang, Liu, 2016. "Asymptotic variance of Brier (skill) score in the presence of serial correlation," Economics Letters, Elsevier, vol. 141(C), pages 125-129.
  34. John Galbraith & Simon van Norden, 2008. "The Calibration of Probabilistic Economic Forecasts," CIRANO Working Papers 2008s-28, CIRANO.
  35. repec:ecb:ecbwps:20141803 is not listed on IDEAS
  36. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
  37. Travis J. Berge & Òscar Jordà, 2011. "Evaluating the Classification of Economic Activity into Recessions and Expansions," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 246-277, April.
  38. John Galbraith & Simon van Norden, 2009. "Calibration and Resolution Diagnostics for Bank of England Density Forecasts," CIRANO Working Papers 2009s-36, CIRANO.
  39. Travis J. Berge, 2013. "Predicting recessions with leading indicators: model averaging and selection over the business cycle," Research Working Paper RWP 13-05, Federal Reserve Bank of Kansas City.
  40. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
  41. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
  42. repec:dau:papers:123456789/15246 is not listed on IDEAS
  43. Kajal Lahiri & Huaming Peng & Yongchen Zhao, 2013. "Testing the Value of Probability Forecasts for Calibrated Combining," Discussion Papers 13-02, University at Albany, SUNY, Department of Economics.
  44. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, vol. 46(1), pages 145-174, February.
  45. Curry, Timothy J. & Fissel, Gary S. & Hanweck, Gerald A., 2008. "Is there cyclical bias in bank holding company risk ratings?," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1297-1309, July.
  46. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
  47. Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1789-1807.
  48. Laurent Ferrara & Clément Marsilli, 2012. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," EconomiX Working Papers 2012-19, University of Paris West - Nanterre la Défense, EconomiX.
  49. Croushore, Dean & Marsten, Katherine, 2014. "The continuing power of the yield spread in forecasting recessions," Working Papers 14-5, Federal Reserve Bank of Philadelphia.
  50. Li, He & Zhang, Zhichao & Zhang, Chuanjie, 2017. "China’s intervention in the central parity rate: A Bayesian Tobit analysis," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 612-624.
  51. Österholm, Pär, 2012. "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 76-86.
  52. 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.
  53. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  54. John C. Williams, 2009. "Heeding Daedalus: Optimal Inflation and the Zero Lower Bound," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(2 (Fall)), pages 1-49.
  55. Albuquerque, Bruno & Baumann, Ursel & Seitz, Franz, 2016. "What does money and credit tell us about real activity in the United States?," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 328-347.
  56. Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
  57. Liu, Weiling & Moench, Emanuel, 2016. "What predicts US recessions?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1138-1150.
  58. Sergey V. Smirnov & Daria A. Avdeeva, 2016. "Wishful Bias in Predicting Us Recessions: Indirect Evidence," HSE Working papers WP BRP 135/EC/2016, National Research University Higher School of Economics.
  59. Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch, 2015. "Predicting Recessions With Boosted Regression Trees," Working Papers 2015-004, The George Washington University, Department of Economics, Research Program on Forecasting.
  60. Herman O. Stekler & Tianyu Ye, 2016. "Evaluating a Leading Indicator: An Application: the Term Spread," Working Papers 2016-004, The George Washington University, Department of Economics, Research Program on Forecasting.
  61. 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.
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